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

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 th