The Lead-Lag Relationship between CSI 300 Index and CSI 300 Index Futures in China

Author: Xiaoning Zhou
Degree: M.S. in Financial Engineering
Year: 2020
Advisory Committee: Dr. Dragos Bozdog, Dr. Ionut Florescu

Abstract: This thesis analyzes the lead-lag relationship in the Chinese market based on the daily closing transaction data of the CSI 300 index and CSI 300 index futures. The data is processed through ADF, cointegration test, Granger causality test, impulse response analysis, error correction model, and volatility spillover effect. It was finally found that CSI 300 index and CSI 300 index futures had no lead-lag relationship within the research time, but Chinese futures market open to the international market will help stabilize Chinese market.