A Study on the the Lead-Lag Relationship between the CSI 300 Futures Market and Spot Market

Abstract

Purpose - The purpose of this study was to examine the lead-lag relationship empirically between CSI 300 stock index futures and spot stocks based on five-minute high-frequency data. Design/methodology/approach - This study collected 23,495 five-minute data of the closing price of CSI 300 index and the closing price of CSI 300 stock index futures were taken as the research object, and the sample interval was selected from May 15, 2017 to May 15, 2019. The unit root test, cointegration test, vector error correction model, granger causality test and the impulse response and variance decomposition were hired In order to analyze the data. Findings - This paper attempts to study the lead-lag relationship between CSI-300 stock index futures and spot by empirical method. First, there is a long-term equilibrium relationship between the cointegration relation of the CSI300 index futures and the spot marke. Second, there is a significant causal relationship between stock index futures and spot, which lays the foundation for the lead-lag relationship between stock index futures and spot. Third, using VEC model to explore the lead-lag relationship between CSI 300 stock index futures and stock spot, stock index futures and spot guide each other, but the effect of stock index futures leading spot is very significant. Lastly, the interaction between the two markets is explored through the impulse response function model. The futures market is better at absorbing shocks than the spot market and the impact of the futures market on the spot market is not obvious. Research implications or Originality – In the CSI 300 index and the CSI 300 index futures market we found that the futures market has stronger shock absorption capacity than the spot market, and the futures market has no obvious response to the spot market agricultural machinery.