A Study On The Effects Of CSI 300 Stock Index Futures To The Spot Market Based On Skewness Distribution

Since the introduction of the CSI 300 Stock Index futures,the study on the impact of the CSI 300 Stock Index futures on the spot market has always been a hot topic.Especially in recent years,China’s stock market fluctuated violently,and with the timeliness of the introduction of stock index futures,it is necessary to further study the dynamic correlation between CSI 300 Stock Index futures and the spot market,reveal the influence of the Index futures to the volatility of the stock market and explore the potential operation rules of the market.I study on these problems base on the real transaction data and provide references for promoting the healthy development of the futures and the spot market.In this paper,I mainly studied the influence of CSI 300 Stock Index to the volatility of the spot market and the dynamic correlation between these two markets.Firstly,the launch date of the CSI 300 Index futures is set as a time point in our paper,the first time period is April 21,2006 to April 15,2010 and the other is April 16,2010 to December 31,2015,I used the daily closing price as the research sample and construct the Beta-Skew-t-EGARCH model to research volatility characteristics of the Index before and after the introduction of the CSI 300 Stock Index futures.Then,I constructed the Beta-Skew-t-EGARCH model with dummy variable to estimate the effect of CSI 300 Stock Index futures on the stability to the spot market.Lastly,I selected the data of CSI 300 Index futures consecutive contract and the logarithmic return rate of CSI 300 Index from April 16,2010 to December 12,2015 to construct DCC-GARCH(1,1)-SST model with standard binary skewness distribution(SST)to analysis the dynamic correlation of the CSI 300 Index futures and the spot market.The result shows that:(1)the introduction of the CSI 300 Stock Index futures play an important role in stabilizing the spot market,but the effect is limited;(2)the introduction of the CSI 300 Index slows down the information transmission efficiency from futures market to spot market and weakened the leverage effect of the spot market;(3)the dynamic correlation exist between the futures market and the spot market.The innovation of this paper is mainly reflected in the following two aspects:(1)Consider the leptokurtosis and skewness of the series data in the modeling process and construct the Beta-Skew-t-EGARCH model;(2)Based on the negative skewness of the return rate of the CSI 300 Index futures and the spot market,constructing the construct DCC-GARCH(1,1)-SST model with standard binary skewness distribution(SST)to analysis the dynamic correlation of these two market.