An Empirical Study on Effect of Stock-Index Futures on Stock Price Change in China

This paper systematically analyzes the interaction between Chinese stock market and its futures market using E-G cointegration test of two-step,VECM,VAR model,Granger causality test,Impusle function and Variance decomposition.The empirical evidence reveals that there is a long-term equilibrium between the stock index futures and the spot stock index,and that the excessively short-term fluctuation of the stock index can lead to weak correction by the long-term no-equilibrium error,and that the index of the stock market can lead the index of the index futures of the stock market when the market is impacted by certainty information;and the index of the index futures of the stock market can lead the index of the stock market when the market is impacted by uncertainty information.