Research On The Risk Contagion Effects Between The CSI300 Stock Index Futures And Spot Markets

As the most promising derivative financial instrument,the CSI300 stock index futures are the products of major focus in China’s financial market since the launch of the plan.After experiencing the pilot implementation,it has been developing upwards in China’s stable financial environment for five years.However,when China’s stock market “plunged” in 2015,it was considered by many researchers to be the cause of the market turmoil,triggering the derivatives market.Sliding down.When the stock market continued to slump again in 2018,the trading volume of stock index futures also fell again.Since China launched the CSI 300 stock index in 2010,China’s macro financial environment has become more open,and it has close contact with the global capital market,which has increased the possibility of risk transfer between markets;the structure of investors in the market is increasingly complex,accompanied by Internet technology.Increasing the time-free transmission of information has accelerated the quantitative operation,and expanded the speculative space after the stock index period,which also left hidden dangers for the sharp shock of stock index futures prices.Therefore,it is worthwhile to study the risk contagion mechanism between stock index futures and spot,the result of infection,and how to actively cope with and avoid the linkage risk between markets to ensure the stable development of the market and ensure the enthusiasm of market investors.This paper theoretically combs the theoretical basis of the risk contagion effect between stock index futures and spot and the contagion mechanism of risk contagion effect.Then,based on the price fluctuation of the stock market,the overall time interval is cut and set to the control group,and valid empirical data is selected.Descriptive analysis,ADF test,ARCH effect test,DCC-GARCH model and Granger causality test were used to process the empirical data.It is believed that the CSI 300 stock index futures and the spot market have a high degree in both the stationary period and the turbulent period.Relevant dynamic correlation,and the dynamic correlation between the two in the turbulent period is higher than in the stationary period;in the stationary period,there is a two-way risk contagion effect between the CSI300 index futures and the Shanghai and Shenzhen 300 Index;in the turbulent period It is the one-way transmission of futures to the spot.Based on the above empirical results,we propose suggestions for the healthy development of China’s capital market from four perspectives.