The study on the linkages between the stock index futures market and the stock index market: The empirical analysis of the HS300 index futures market

摘要

This paper, used the data of HS300 index and HS300 stock index futures, studies the linkages and interaction between the stock market and stock futures market in China, which is based on the VAR model, Vector error correction model, Johansen cointegration analysis, The Granger long and short causal relationship test and The Hasbrouck variance decomposition method. It is concluded that stock market has close relationship with stock futures market in the long term. The stock futures market also has good influence on the price discovery of the stock market. In the long run, the stock futures market would be the reason why the stock market changes and the stock market also would be the reason why the stock futures market changes. But the stock futures market has the greater influence on the stock market. Wish these conclusions have a great use for reference to the risk control of regulators and investors.