Research on the correlation between CSI 300 stock index futures and spot

Abstract

This paper mainly focuses on the correlation between China's stock index futures and spot markets, and the selected products are CSI 300 stock index futures and spot. This paper takes CSI 300 as the research object, and based on the daily data from 2010 to date, uses the E-G cointegration test method and the error correction model method to verify the existence of a long-term equilibrium relationship between the period and the spot market, as well as the repair mechanism when the short-term deviation from equilibrium occurs. The results show that there is a long-term equilibrium relationship between stock index futures and the spot market, and there is a repair mechanism when the short-term deviation from equilibrium occurs. As the policy range moves forward, the signal role of the futures market in pricing gradually increases, and more investors begin to refer to the futures market trend to make decisions in the spot market.