Study On The Fluctuation Relationship Of Sock Index Futures Market In China Based On High-frequency Data

In the rapid process of economic development in China,financial markets play an increasingly important role.The yield and volatility are important determinants in risk management and investment in financial assets,the relationship between the volume and price of financial assets has also been a research hotspot for scholars at home and abroad.As we all know,there is a large systemic risk in stock spot market,and it is lack of effective control mechanisms.The stock index futures market has the function of avoiding market risk and resource allocation management,which makes up for this deficiency.The existence of the stock index futures market is a good complement to this deficiency,and it is irreplaceable in Chinas capital market.Thus,researching is indispensable in stocks and stock index futures.Research on volatility has not only relied on the series of profitability,but the linear regression model finds that there is a certain correlation between the innovation process of the rate of return and the innovation process of volatility.At the same time,financial high-frequency data has the information superiority,and it can more accurately describe the relevant characteristics of financial market.Therefore,this paper uses financial high-frequency data to study the price volatility and the relationship between volume and price in the stock market and stock index futures market.The main work is as follows:First,we use the binary t-Copula to estimate the correlation between two variables in the static Vine structure.The results show that there is a correlation between the three.Secondly,the time-varying D-Vine Copula model is established to study the correlation between the innovation process in continuous fluctuation,jump fluctuation and yield rate.Using the AIC criteria to determine the optimal pair-copula,and study the dynamic correlation structure between the three.The empirically gives the dynamic correlation coefficient graphs of the innovation process in continuous fluctuation,jump fluctuation and the rate of return series,which shows that the correlation between the three has obvious dynamic characteristics.Finally,we decompose volume and position into expected and unexpected part,and decompose price fluctuations into two parts,continuous and jumping,then establish a volume price model.Let us have a deeper understanding the stock index futures market.The results show that the expected volume and unanticipated volume are consistent with the impact of price volatility,which is in line with the price,the effect of expected and unanticipated positions on price volatility is different,there is a positive correlation between the expected position and the price,and the unanticipated position is negatively correlated with the price.