Research On The Dynamic Correlation Of Futures And Spot

With the rapid development of China’s securities market,financial products have also become richer.The official launch of the Shanghai and Shenzhen 300 stock index futures in 2010 marked the advent of a new era,which ushered in a market that can be both long and short.It also caused a large influx of market investors and the financial environment also changed.It becomes complicated,and the difficulty of supervision also increases.On April 16,2015,the Shanghai Stock Exchange 50 stock index futures were officially listed on the China Financial Exchange,which injected a boost to the deep reform of the capital market,and the stock market futures in 2015 also caused the emergence of stock index futures to be questioned by all parties.So,studying the relationship between futures and spot is of great significance to investors and financial regulators.This article selects the Shanghai 50 Stock Index Futures and the Shanghai 50 ETF as the research objects,and selects high-frequency 5 minutes data and low-frequency daily data.Analyze the dynamic dependence of the futures market and the spot market from multiple levels.First,model the causality relationship separately.The specific methods include using the ECM model to test the short and long-term relationship between the two,and using the Granger causality test to analyze the guiding relationship between the two markets.It is found that for the 5-minute data,there is a long-term equilibrium relationship between the closing prices of the SSE 50 stock index futures and the SSE 50 ETF,and the SSE 50 stock index futures market has played a leading role in the price discovery process,and the other two are each other’s Granger reasons.For daily data,there is also a long-term equilibrium relationship between the closing prices of the SSE 50 stock index futures and the SSE 50 ETF.The change in the spot yield of the previous two periods is the Granger reason for the change in the yield of the current future.The information reacts to guide futures prices.Only when the period is 7 or more lags,rejecting futures is not the Granger reason for the spot,that is,the change in the spot price at this time will be affected by the change in the futures price.In order to study the volatility spillover effect between the SSE 50 stock index futures and the SSE 50 ETF,this paper uses the two-step analysis of the GARCH model for highfrequency data.That is,the futures market receives information faster than the spot market,so it can be concluded that stock index futures have the function of price discovery under normal market conditions.For daily data,in order to study whether the introduction of stock index futures has a negative impact on the volatility of the spot market,the data after the launch of stock index futures,that is,April 17,2015-November 28,2019,was selected by introducing Variable dummy,and then use the GARCH model to compare the fluctuations of SSE 50 ETF yield before and after the launch of SSE 50 stock index futures.After analysis,it is found that the introduction of stock index futures has reduced the fluctuation of the Shanghai 50 ETF price to a certain extent in the long term,and has played a stable role,but the effect is very limited.Don’t blame a bad spot market stocks for a new thing.Finally,for the tail dependence,this paper uses binary t-Copula for analysis.As a result,it is found that the futures and spot yields have the characteristics of spikes and thick tails,and have strong tail dependence.Finally,based on the conclusions of the research,I put forward some opinions to market regulators and investors: first,strengthen education and positive guidance for investors,and encourage them to grow into a rational investor;second,severely crack down on various illegal acts,Guarantee a fair and orderly trading environment;Third,increase the development of new products and continuously improve the trading mechanism of the stock index futures market and the spot market.