Empirical Analysis of the Mutual Causal Relationship between the CSI 300 Stock Index Futures and the Spot Market

摘要

As the first and only one stock index futures product in China's securities market, the CSI 300 stock index futures, has been paid much attention since it was listed. With the Granger causality test, VAR model (VAR), vector error correction model (VECM) and other quantitative methods, this paper explores the mutual causal relationship between the CSI 300 stock index natures and the spot market using closing price series of the CSI 300 Stock Index and the CSI 300 Index Futures in the first year,, which has important practical significance. Empirical results show that: there is a long-term cointegration relationship between the CSI 300 stock index futures and the CSI 300 stock index spot market, and either of them has a reserve correction mechanism; it presents the bidirectional Granger relationship between them; in terms of long-run equilibrium, the intensity and speed of adjustment in the two markets are closing, but the stock index spot market's performance is a little better; in terms of short-term volatility, compared with the spot index futures, the CSI 300 stock index futures has greater impact.