Research On The Correlation Fluctuation Between The Shanghai And Shenzhen 300 Stock Index Futures And The Spot Market

The establishment of CSI 300 future index was an important financial innovation of China's securities market.Since the first stock index futures has contracts traded,there has always been a hot issue of the conductivity and connection,between financial derivatives and the spot market.And the issue also attracted the attention from media,government and people from all works of life.China's financial derivatives market is still in its infancy,meanwhile the market system has not fully developed,so there is a gap between China's the investors(including institutions and individuals)and Western investors who has already developed.Thus,how to improve the futures market mechanisms,and how to maintain stable operation of the market,governments should have a full plan.Plus,both of the study about the relationship between CSI 300 future index and the spot market and how the volatility and the effects of fluctuations in the derivative market be effected by CSI 300 future index are also of vital importance.In addition,the research of volatility spillover between different market is also of great significance to the development of China's financial derivatives market.Through the relevant theoretical and empirical analysis,this paper focuses on the futures and spot market of one-way wave effects and two-way fluctuation correlation effect.Firstly,in the empirical research,the article uses the GARCH model to examine the volatility of CSI 300 daily return series after the beginning of stock index futures.Secondly,in light of cointegration between stock index futures and stock index price series,VECM is established to observe the mean spillover effect between two markets.Lastly,the paper uses dual variable GARCH model to test the volatility spillover effect between two markets.The empirical results show that: firstly,CSI 300 index futures have a certain effect of maintaining stability on the spot market,but the effect is not ideal.Secondly,there is a long-term equilibrium relationship between stock index futures and stock index spot price.When the deviation from the equilibrium state occurs,the error correction term will make both a reverse adjustment of futures prices and a positive adjustment on the spot price.And there is a mean spillover phenomenon between stock index futures and spot market,meanwhile volatility of the futures market is more conductive to the spot market.Lastly,there is a mutual volatility relationship between stock index futures and spot market.The volatility of stock index futures will increase the volatility of the spot market in the short term.In addition,from the perspective of China's stock market crash events in 2015,this paper explores the relevance of index futures and stock index spot market.It also reveals the influence resulting from policy of restricting stock index futures' position on spot market.The results of the study are complementary to the previous conclusions.Finally,according to the research results,combined with the current characteristics of two markets of our country,some suggestions are made on improving financial market in China.