股指期货与现货市场联动效应分析——以中国市场为例.pdfVIP

Empirical Research on Coupling Effects between Stock Index Future and Spot Market——Evidence From Chinese Market Abstract Since February 24, 1982, Kansas City Board of Trade launched its first stock index futures contracts - Value Line composite average index contracts, the contract marks the launch of the global financial markets began to enter the era of stock index futures. Subsequently, the country in the world launched their stock index futures contracts. As the most important hedging tool, stock index future has undertaken an unprecedented development. On April 16, 2010, Chinas first stock index futures - Hushen300 stock index futures was lunched officially, which meant that Chinas financial market had entered a new era. In this paper, we will discuss Hushen300 stock index futures’ effects on stock volatility and the Hushen300 stock index futures price discovery function. From these two points, we have collected a lot of data to prepare these two issues empirical research. This paper is divided into six parts. The first part is introduction; it includes the research background and significance of the project, current researches at home and abroad, research methods and the dates. The second part mainly introduces the concept of stock index future and its history, the development of Hushen300 stock index futures , the linkage effects and research hypothesis. Thirdly, this part is about research models. Unit root test, c