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China’s Shanghai and Shenzhen 300 Index Futures and Spot Markets Spillover Effect Analysis

Author: TianZhiJie
Tutor: ZhaoJinWen
School: Dongbei University of Finance
Course: Financial Engineering
Keywords: Stock Index Futures Price Discovery VEC model Variance Decomposition DCC-GARCH Model
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 73
Quote: 0
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Abstract


The acceleration of economic globalization background, our country stock market fluctuates greatly accelerated the process of the introduction of stock index futures. The launch of stock index futures is to represent the general trend, the stock index futures market risk control research and Spot Market Research Association has important real sense undoubtedly. The Shanghai and Shenzhen 300 index futures contracts on April 16,2010 in gold in the market, the Shanghai and Shenzhen 300 index futures, on China’s securities market and the whole national economy produced far-reaching effect. The Shanghai and Shenzhen 300 index futures listed for more than a year, two of the market volatility spillover and information transfer situation, it has become the focus of.Under this background, in reference to the previous scholars on the basis of the study, this paper uses the theory and empirical analysis methods, the Shanghai and Shenzhen 300 stock index futures and stock return and volatility on two aspects. The Shanghai and Shenzhen 300 index futures and spot transaction data to build the error correction (VEC) model and variance decomposition of stock index futures and spot index of long-term equilibrium relationship and short-term and interactive relationship. At the same time the use of OxM software using DCC-MVGARCHH model to two markets between the volatility spillover effect researches.The results show that:in the long run, the Shanghai and Shenzhen 300 stock index futures and spot index of long-term stable co integration relationship, two long-term trend basic consistent; the short term, the Shanghai and Shenzhen 300 index futures market rate of return, from lag 1 period to the 2 period on the spot index has significant influence, but the Shanghai and Shenzhen 300 stock lag period of futures market relatively little impact. In addition, through the variance decomposition analysis, in Shanghai and Shenzhen 300 index futures price spot price and long-term change process, the stock index futures variance proportion of dominant influence. The above conclusions are fully demonstrates the short-term Shanghai and Shenzhen 300 index futures price discovery than spot has more advantages; finally through the GARCH model test shows:the Shanghai and Shenzhen 300 index futures did not accelerate new information in the future volatility shock, in the old information market impact of persistent, the Shanghai and Shenzhen 300 index futures is greatly reduced the information on the spot market impact of persistent. At the same time, through the Shanghai and Shenzhen 300 stock index futures and stock return volatility of dynamic coefficient study shows: two between the linkage effects. In two markets that information transfer between each other, new information on the two market volatility will be affected, in stock index futures volatility is smaller, the correlation between the two is small, the Stock Index Futures Volatility, the two wave correlation will magnify.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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