Abstract：Cointegration test, GARCH model and EGARCH model were used to make empirical analysis of the linkage between China's Shanghai and Shenzhen 300 stock index futures and spot. A relatively representative futures contract IF1403 in Shanghai and Shenzhen 300 stock index futures was chosen as samples. Findings show that there exists the leverage effect in IF1403 stock closing price index, and its stock price index’s "good news" waves more than its "bad news". Stock index futures traded lowers volatility index but the decrease is not large and the stock index futures market reflects new information more quickly than the spot market, with a strong risk correlation between the two.
王志敏，葛腾飞，彭亚宁，汪 旺. 沪深300股指与股指期货相关性研究--基于GARCH模型的实证分析[J]. 辽宁工程技术大学学报(社会科学版), 2015, 17(1): 41-45.
Wang Zhimin, Ge Tengfei, Peng Yaning, Wang Wang. Correlation between Shanghai and Shenzhen 300 stock index and stock index futures
——an empirical analysis based on GARCH model
. Journal of Liaoning Technical University), 2015, 17(1): 41-45.