The Empirical Study on the Relationship between the Volatility of Stock Index and the Volume of Stock Index Futures in China

摘要

This paper aims to explore the relationship between the stock index volatility and the volume of stock index futures by stationarity test and Granger test of causality. It is indicated in the research that the volume of stock index futures has no significant effects on the inter-day price fluctuation of stock index spot market, and the arbitrage space of investors is limited . It's beneficial for the stock index futures market to perceive the function of avoiding risks effectively. Meanwhile, the volatility of stock index doesn't play an significant role in determining the volume of stock index futures, which points out that the demand of hedging is insufficient. So it should be strengthened further for the function of avoiding risks for stock index futures market.