Study on the Linkage of Stock Index Futures and Spot Price under Random Impact
-Based on example of csi300
Jiaxuan Du1, Chang Lu2, Jinchuan Wang3
1Anhui University of Finance and Economics, Bengbu, 233030, China
2College of Business Administration, Anhui University of Finance and Economics, Bengbu, 233030, China
3School of Finance, Anhui University of Finance and Economics, Bengbu, 233030, China
Abstract: Based on the high Frequency time series data of 5 minutes stock index futures and spot, this paper makes use of Granger causal test, pulse effect method of structural vector autoregressive model, Johansen cointegration test and Inforatio function, respectively, to carry out the cause and effect, impact and The demonstration of cointegration relationship and the calculation of tracking error. Taking the June 2015 "stock disaster" as the background, under the condition that the stock market is down sharply after the uplink, the difference between futures and spot in three time periods is analyzed by variance test, which helps to help the relevant departments to predict the market accurately under the condition of large market change.
Keywords: Stock index futures; Linkage; Tracking error; Cointegration relationship; Random impact