The Correlation Research of CSI300Stock Index Futures and CSI300Stock Index
|School||East China University of Science and Technology|
|Keywords||Error correction model Volatility analysis Intraday effects Filtered return|
This paper mainly studies the correlation of CSI300stock index futures and CSI300stock index after the trading of CSI300stock index futures. The article first tests the price relationship of the CSI300stock index futures and CSI300stock index, then analyses the influence of stock index volatility after CSI300stock index future trading. Then the article analyses the intraday effects of the CSI300stock index futures and stock index and finally examines the impact of trading of CSI300stock index futures on the volatility of the stock index market after eliminating the influence of intraday effects. Through the empirical research we found:(1) There is evidence of cointegration between CSI300stock index futures and stock index. Stock index futures have the function of price discovery on the stock index.(2) The CSI300stock index futures decrease stock index volatility.(3) We discover the ’L’ pattern intraday movement of average absolute returns of CSI300stock index futures and stock index. CSI300stock index futures and stock index average trading volume present ’W’ and ’U’ pattern intraday respectively.(4) The CSI300stock index futures increase stock index volatility after eliminating the intraday effects.