Stock Index Futures Basis and Liquidity of Correlation Analysis and Application Based on t-GARCH-Copula Model

摘要

This paper takes the CSI300 Stock Index Futures as research object, and conducts an empirical study on the dynamic correlation between basis and liquidity of the CSI300 Stock Index Futures. Firstly the lead-lag relationship between liquidity and basis is discussed using Granger causality test, and then the binary t-GARCH-Copula model is built and the correlation between the two is studied. From the Granger causality test, it can be observed that there exist bidirectional Granger causality between basis and liquidity. From the parameter estimation result of the binary t-GARCH-Copula model, the following conclusions can be obtained. Firstly, the correlation structure between basis and liquidity possess the feature of time-variation. Secondly, the upper tail correlation is much stronger than the lower tail dependence, and there exists an obvious law of asymmetric correlation.