Abstract:

The VAR model and a series of ARCH models were used to test the interactive effects between CSI 300 stock index and futures index in 2015. The results showed that under the positive feedback trading quotation， the risk spillover and fluctuating accumulation are formed between Shanghai and Shenzhen 300 index spot market and index futures market， which recycle and intensify under the constraint of liquidity， ultimately leading to the violent falling of stock indexes (i.e.， cascade effect). The further analysis revealed that the important reasons for forming the cascade effect are structural imbalance of market traders， imperfect trading system， “herd behavior” of noise traders and delayed reaction of regulatory measures.

Key words: positive feedback, fluctuating accumulation, asymmetric shock, cascade effect