An Empirical Study on Risk Transmissions between Stock Index and Index Futures Markets in China
|School||Nanjing University of Finance and Economics|
|Keywords||Stock index futures Price linkage Fluctuation spillover Multivariate GARCH|
Since HS300 index futures launched officially in china in 2010 April 16, it runs smoothly and the volume is much more than expected. However, with the stock index futures listed in our country, stock spot market appeared a big decline, volatility rises apparently. Besides because of china’s capital market is emerging markets, stock index futures market conditions and international environment is different from foreign mature capital markets, we are very concerned about the stock-index futures of our country would play its value at price discovery and avoiding risk function. Based on market microstructure theory and information economics, combined with the risk linkage characteristics between stock index futures market and cash market, the study reveals the information transmission and risk conduction mechanism between the stock index futures market and cash market. By choosing Hong Kong’s hang sang index futures market and china’s HS300 index futures market for mature market and emerging market as the object of study, Adopt empirical analysis method to study Chinese stock spot and futures market’s price of linkage and risk of spillover effect, reveals the risk transmission characteristics between the Chinese stock market and futures, analyzes the volatility influence of stock index futures on the spot market, And based on the mature markets and emerging market research conclusions gave economics interpretation from a macroeconomic perspective and feasibility Suggestions that can guide our stock index futures market development. This structure is as follows:The first chapter for introduction, this paper introduces the background and significance of the research. Meanwhile the related issues Research status at home and abroad are reviewed and evaluated.Chapter 2 is a concrete analysis about price linkage between the stock index futures market and cash market. This chapter firstly introduces current stock index futures pricing theory, and then through a variety of empirical model analyzed the price linkage relationship between stock market and the stock index futures market from Short-term to long-term.The third chapter is risk spillover effect analysis between stock index futures market and cash market. This chapter focuses on analyzing the risk conduction mechanism between stock index futures market and cash market, and then using Univariate and multivariate GARCH model concretely analyzed two markets about fluctuation spillover effect and cross fluctuation spillover effect. The fourth chapter analyzed the influences of the spot market volatility introduced to the stock index futures. The introduction of stock index futures can affect the spot market price and volatility effect, this kind of influence may come from the flow of information change also from the stock index futures market’s progress. This chapter on three layers researches the spot market volatility influence due to the introduction of stock-index futures market.The fifth chapter in this paper is the main conclusions and Suggestions, besides explained the empirical results and gives a feasible suggestion. Finally, points out the shortage of this paper.