Study on VECM-DCC-VARMA-GARCH Method Based on United Test of Dynamic Correlation and Spillover Effect--Analysis on the Linkage of CSI 300 Index Futures and Spot Stock
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DOI: 10.38007/Proceedings.0000459
Corresponding Author
Xinxin Wu
Abstract
This paper discusses the Co-movement between CSI 300 stock futures and spot stock market, the dynamic relationship and spillover effects between the two market prices, on the establishment of VECM-DCC-VARMA-GARCH model. There are only one-way mean spillover and two-way volatility spillover effects existing in the field from the stock futures market to the stock market. Furthermore, the effect of the market on stock futures is much intense than the effect of stock futures on the stock market. In China, the stock IFs market has a good function in price discovery. Stock IFs did not lead to increased inconstancy of the stock market. On the contrary, it actually plays a stable foundation part in the stock market .
Keywords
CSI 300 Stock Futures; Stock Spot Market; Price Linkage Effect; VECM-DCC-VARMA-GARCH Model