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1、EmpiricalResearchonCouplingEffectsbetweenStockIndexFutureandSpotMarket——EvidenceFromChineseMarketAbstractSinceFebruary24,1982,KansasCityBoardofTradelauncheditsfirststockindexfuturescontracts-ValueLinecompositeaverageindexcontracts,thecontractmarksthelaunchoftheglobal
2、financialmarketsbegantoentertheeraofstockindexfutures.Subsequently,thecountryintheworldlaunchedtheirstockindexfuturescontracts.Asthemostimportanthedgingtool,stockindexfuturehasundertakenanunprecedenteddevelopment.OnApril16,2010,China'sfirststockindexfutures-Hushen300
3、stockindexfutureswaslunchedofficially,whichmeantthatChina'sfinancialmarkethadenteredanewera.Inthispaper,wewilldiscussHushen300stockindexfutures’effectsonstockvolatilityandtheHushen300stockindexfuturespricediscoveryfunction.Fromthesetwopoints,wehavecollectedalotofdata
4、topreparethesetwoissuesempiricalresearch.Thispaperisdividedintosixparts.Thefirstpartisintroduction;itincludestheresearchbackgroundandsignificanceoftheproject,currentresearchesathomeandabroad,researchmethodsandthedates.Thesecondpartmainlyintroducestheconceptofstockind
5、exfutureanditshistory,thedevelopmentofHushen300stockindexfutures,thelinkageeffectsandresearchhypothesis.Thirdly,thispartisaboutresearchmodels.Unitroottest,cointegrationtest,errorcorrectionmodel,Grangercausalitytest,cross-correlationanalysis,impulseresponseanalysis,an
6、alysisofvariancemodelsandtheoriesaredescribed.Boththefourthpartandfifthpartareempiricalstudy.BasedonthedataofHushen300stockindexfutures,weestablishsomemodelstostudytheempiricalresearch.Ontheonehand,webuildupGARCHmodelandARMAmodeltodiscoverthevolatilityofthespotmarket
7、beforeandaftertheintroductionofstockindexfutures.Ontheotherhand,weuseaVARmodel,Johansentest,VECmodel,III万方数据andsoontoanalyzethepricerelationshipbetweenHushen300stockindexfuturesandspotmarket.Thelastpartisconclusionandsomesuggestion.ThisstudyfindsthatsincetheHushen300
8、stockindexfuturewasintroduced,stockmarketvolatilityhasbeensignificantlyreduced.Lowertransactioncostsofthestockindexfuturesmarketmak
