Co-movement and Risk Spillover Effects between CSI 300 Stock Index Futures and Spot Markets

Abstract

The binary investment behavior of retail and institutional investors may lead to structural differences in the risk transmission between the futures and spot markets in China's capital market. This paper decomposes the heterogeneity of volatility spillovers between futures and spot markets: (1) There is a distinct binary effect in risk spillovers: the short-term (1-5 days) spillover is the strongest, showing a "net input" pattern driven by individual investor sentiment from the spot market to the futures market; in the long-term (more than 20 days), it reverses to a "net output" pattern dominated by institutional investors from the futures market to the spot market. (2) Major crisis shocks will trigger "full-frequency resonance", which simultaneously intensifies short-term emotional contagion and long-term risk pricing, significantly increasing the complexity of systemic risks. (3) The futures market plays the role of a "pricing anchor" and "net outputter" of systemic risks in the long run. This study reveals the micro-mechanism of risk contagion under China's specific investor structure, and provides theoretical basis and empirical evidence based on the dual dimensions of "behavior-frequency" for the implementation of differentiated and precise macro-prudential supervision.