Research On The Volatility Spillover Effect Between Stock Index Futures And Spot Market Under The Trend Difference

It has been nearly seven years that China launched stock index futures,and during these years,the futures have been developed better and better.As a financial derivative with hedging function,the introduction of CSI 300 futures is a milestone in the development of China’s financial derivatives,which is of great significance to the further deepening of China’s capital market and the internationalization of financial markets.From November 2014 to June 2015 CSI 300 index rose nearly 2700 points,more than 100%,within the next six months,that index fell more than 2400 points,down nearly 45%.This volatility is the biggest one in China,causing a huge response to the domestic investment market.But whether it can stable the China spot market price fluctuations are always in disputing for speculative too strong,especially after the bubble burst in the volatility.In order to study the impact of stock index futures on the volatility of the spot market will vary with the trend of market fluctuations or not,this paper uses the CSI 300 and its futures daily data in more than six years,and high frequency data in rising,falling,and stable period that divided according to market trends to study the impact.In order to study the impact of stock index futures on the volatility of the spot market,whether the effect will be different with the trend of market volatility or not,using the CSI 300 futures after the introduction of six and a half days of daily data,and for the market fluctuating,is divided into the rising period,the decline period and the smooth period according to the market trend and the use of 5 minutes data analysis in different market trends,study the CSI 300 futures on the fluctuation of the CSI 300 index under different market volatility trends.The purpose of the study is to supplement the research on the difference between the stock index futures and the stock spot market when there is a sharp fluctuation in China’s financial market.Firstly,reviews and summarizes the research results on the effect of volatility spillover between stock index futures and index futures.Secondly,theoretical analyzing the impact of stock index futures on the spot market volatility in normal,and theoretical analyzing their impact in China’s financial market.Thirdly,the empirical analysis is carried out by the GARCH model and the TARCH model to analyze the fluctuation of the CSI 300 Index and its stock index futures,and the BEKK-GARCH model was established to analyze the fluctuation spillover effect between the two.Draw the following conclusions:(1)In the long term,CSI 300 index futures and spot there is a two-way volatility spillover effect,the index spot overflow effect is stronger,and The futures have a negative spillover effect on the index.(2)The spot market is more responsive to new information and most violent in rising.(3)In the falling period,stock index futures on the index spot for a single guide relationship,the volatility spillover effect of stock index futures is the strongest,and inhibits the volatility of the spot market.After the study found that two-way volatility spillover CSI 300 stock index futures and stock index CSI 300 exist in the long term,where the fluctuation of stock index futures on the volatility index overflow spot inhibited.However,in the volatility period,the spot market volatility increased significantly.After the bubble burst,the main stock index futures price discovery based play,this time,the spot market due to lack of short-mechanism,hedging transactions can only be accomplished by stock index futures,the futures also bear part of the selling pressure from the spot market,that is,when the market continued to fall,the stock index futures to stabilize the volatility of the spot market,rather than to promote the volatility of the spot market.