The Empirical Research of the Relationship Between CSI300 Index Futures and Spot

摘要

With being launched CSI300 Index Future on April 16th 2012, the system of not doing short but doing more in China stock exchange was ended from then. In this paper, Index futures characteristic and function was began with, and the correlation and co-integration relationship and Granger causality relationship of CSI300 Index futures and spot were analyzed on the basis of sample data of daily closing price of CSI300 futures and spot from January to March in 2012, so the results show that there is a strong correlation and long-term stationary balanced relationship but non-Granger cause between them. The time that index future launched is very short and related system is not perfect, so the conclusion of this paper is certain limited and general conclusion will appear gradually after more long time running.