The Study on the Mutual Causal Relationship between the CSI 300 Index Futures and the Spot Market

The CSI 300 index futures is the only index futures product in China's securities market.With the Granger causality test,vector error correction model(VECM),Impulse response,Variance decomposition and other econometrics methods,the empirical results using the daily trading data of the CSI 300 index futures market and the spot market show that: there is a cointegration relationship between the CSI 300 index futures market and the spot market,and it presents the bidirectional Granger relationship between them;the CSI 300 index futures market adjusting to the long-term equilibrium is stronger,faster and more efficient to information response.However,with short-term volatility,the average contribution from the index futures market to total variance is 47.52%,whereas the spot market is 52.48%.The spot market contributes more to the new information,and its impact on the CSI 300 index futures market and the spot market is stronger and longer.