Empirical Study Of Risk Contagion Effects Between The CSI300 Stock Index Futures And Spot Markets

With the continuous advancement of the process of economic globalization,the opening of financial markets in various countries and regions is also deepening,promoting the financial capital free flow around the world effectively.At the same time,the great development of information technology,impel the market information at a very rapid rate,through multi-channel,multi-faceted form,from one market to other markets,greatly improving the efficiency of modern financial markets.The continuous strengthening of economic ties and the increasing degree of interdependence brought great risks to the risk transmission within financial markets too.Therefore,how to delimit the financial market risk,effectively prevent the risk of infection between financial markets,and through the development of relevant policies and laws to ensure the progress of the capital market more smooth has become worthy of further study of the theme.Based on the above background,this paper chooses the Shanghai and Shenzhen 300 Index Futures(IF)as the research object.By selecting the latest and most representative data and using the more effective empirical model,the paper analyzes the interrelationships between CSI300 Index futures and CSI300 Stock Index Spot(HS),also settles the risk of infection from CSI300 Index futures to other market stock index,to a certain extent,enrich the stock market risk research.First of all,from the theoretical point of view of the relationship between CSI300 index futures market and its spot market,and elaborated on the risk of infection related concepts and risk of infection mechanism.Secondly,through the construction of GARCH model and the use of Granger causality test,empirical results show that the introduction of CSI 300 stock index futures to a certain degree,inhibited the volatility of the spot market,weakened the risk of market infection.Finally,the paper introducing the other financial markets stock index data at home and foreign,domestic market factors(IM)and foreign market factors(FM)were analyzed by factor analysis,and then the CSI 300 stock index futures yield series were united in wedlock to constructe BEKK--GARCH model respectively.The risk contagion effect between CSI300 stock index futures and spot markets is analyzed from the angle of empirical analysis.From the results we can see that there are two-way risk infection between the CSI300 index futures and the domestic or international spot market,and it is more likely to be affected by volatility from the spot market than the impact of the volatility of other spot market futures in CSI300 stock index futures influences.Therefore,this article through the empirical results,how to improve China’s stock index futures market development,how to make the financial markets more efficiency,establish a unified regulatory system and the other aspects.……...