| It is one of the most profound innovations on impact that the global stock index futures market is in the history of global finance. It has been over 20 years since the birth of the first stock index futures, the global stock index futures market develops rapidly. Up to the end of 2009, it has occupied leading position of derivatives market of the volume of stock index futures market. Now, it expands from the developed North American market and European market to the rising market of stock index futures market and those as China, Brazil, Argentina and Mexico have implemented their own stock index futures contract successfully, thus it rises rapidly of the Asian-pacific region market, which has established one of three roles situation together with North American market and European market.People were doubtful of the risk management function of stock index futures on market, even deem it could prick up the risk of spot market while have gone through the strike of a stock market crash in 1987, collapse of Barings Bank and Industrial Bank. However, in the financial crisis caused by U.S. sub-prime crisis in 2007, it rose explosively of trading volume of stock index futures and its volatility was also lower than spot market, then it reduced the volatility of spot market through hedging and arbitrage transactions, which it has played the role of risk management tools fully and played the role of rescuer of spot market. It also rose to lead spot market out of the haze for stock index futures before the rebounding of global stock market in March 2009.China mended its pace to consummate multi-levels capital market while global economy turned better gradually to enter into the post-crisis era after financial crisis. In October 2009, China held the opening of Growth Enterprises Market (GEM) and carried out Margin Trading & Short Selling Transaction and the CSI 300 futures contract one after the other in April 2010, which were most exciting changes in the China's financial market. It has made remarkable success for stock index futures market after introduction, while its variance in price narrowed in second month after introduction, which has reached the standard of mature market; in June, it has reached the second place in the global stock index futures market of trading volume, which only listed after the United States mini-market Standard & Poor's 500 stock index futures. Meanwhile, it wasn't influenced by the Xinhua-FTSE A50 index futures fetched outside of stock index futures market, due date indicators stabled of CSI 300 futures and it didn't show large-scale selling in the spot market.It takes positive analysis on influences of the protrusion of stock index futures upon whole appraisement, the volatility and information transmission efficiency and influences of emulation stock index futures before the protrusion of CSI 300 futures, Xinhua-FTSE A50 index futures outside upon spot market in this dissertation through having reviewed the mutual conducting relationship of variation in price between CSI 300 futures and spot after the protrusion of CSI 300 futures. Then, it advances the corresponding policy suggestions upon the actuality of CSI 300 futures and proposes the sequence of financial derivatives in this dissertation. Thus, it is no doubt that choice of topic and the research of dissertation have important practical and theoretical significance.This dissertation includes the following:1. having inspected the influence of push-out of different market and emulation futures on spot marketIt inspects empirically the influence of push-out of different market of Xinhua-FTSE A50 index futures on spot market. Firstly, it constructs GARCH model of spot market in this dissertation. It chooses the push-out of Xinhua-FTSE A50 index futures in different market as a dummy variable to reflect the influence of push-out of stock index futures on spot's volatility, discovering that it adds the mild volatility of spot market of push-out of Xinhua-FTSE A50 index futures and the strike from the information on index futures variation reinforces a little while the non-symmetrical effect weakens a bit. Secondly, it compares the average rate of return variance of spot market price before and after the push-out of futures, discovering that its result is the same to that of TARCH model. Then, it constructs the multiple regression model of transaction volume in spot market, discovering that the transaction volume in spot market adds for the influence from futures market. Lastly, it constructs GARCH model for testing volatility at expiration date. It selects the expiration date as the dummy variables, discovering that there is significant effect of expiration date of Xinhua-FTSE A50 on China's spot market. It is more difficult to monitor in different market than that in native one and manipulates easily. It only influences investor's mind of expiration date effect for suffering from limitation of smaller Xinhua-FTSE transaction volume, but it shall strike spot market as the adding of Xinhua-FTSE transaction volume.It analyzes empirically the influence of push-out of CSI 300 emulation futures on spot market. Test the influence of push-out of CSI 300 emulation futures on the volatility of spot market.Emulation futures has no effect on the volatility of spot market. Test to test the conduct relation between stock index futures and spot market, discovering that the influence of spot market upon stock index futures is more remarkable than that of stock index futures upon spot market. For influence of emulation futures, it has a certain reference value of empirical conclusion obtained, but it can't explain the influence of China real stock index futures on spot market completely.2. having constructed the multiple linear regression model of CSI 300 futures and spot market and analyzed their conduct relationFirstly, it analyzes the overall valuation changes of stock market after the push-out of CSI 300 futures, discovering that it enters in a slump of spot market after the push-out of futures. Secondly, it analyzes micro structure effect of stock index futures market and spot market, discovering that the microstructure effect in spot market is not obvious while there is bid-ask spread effect in stock index futures market and the fluidity is so bad. Thirdly, it uses high-frequency data to construct the multiple linear regression model of stock market and to test the transmission relation in price change day between two markets, discovering that futures goes ahead five minutes before spot and spot reflects five minutes later. Fourthly, it adds dummy variables into the multiple regression model to express opening and closing quotation time, discovering that the conduct relation within day between two markets are more remarkable at opening and closing quotation time. Then, it uses daily data to construct GRANGER Causality Test to inspect the conduct relation between two markets, discovering that there is obvious GRANGER causal relationship and since it is more remarkable of stock index futures to lead spot market, it verifies the conclusion of multiple linear regression model. Lastly, it tests the relation of returns at opening time between spot market and futures market, discovering that it is high of relation between them and the rate of return of futures leads that of spot for the influence from open time of stock index futures earlier than spot. 3.having constructed ARCH model that the push-out of CSI 300 futures influencing volatility of spot market and tested changes of information transmission effect and volatilityFirstly, it uses daily data to construct the GARCH model of spot market to test the influence of push-out of futures on the volatility of spot market and add dummy variables to express the push-out of futures, considering that the volatility of spot market after push-out of futures reduces mildly and is not so great, so it plays no role in improving transmission efficiency of market information of stock futures. Secondly, it calculates the average variance of spot market before and after push-out of futures, discovering that it conforms to the conclusion of GARCH model. Then, it constructs EG ARCH model to check the asymmetry influence of futures on spot market, discovering that futures is helpful for reducing non-symmetry of spot market and making investors more reasonable. The same result is shared with the result obtained using high-frequency data of five minutes and the day data. Lastly, it constructs he regression model for transaction volume of spot market, discovering that futures plays role in adding trading volume.4. having analyzed the expiration day effects of CSI 300 futuresFirstly, it verifies the expiration day effects of CSI 300 futures. Secondly, it uses T-test to compare the growth rate of trading volume between the expiration day of spot market and the non- the expiration day of spot market, discovering that there is no remarkable difference between them and the average trading volume in the last hour being similar to that in other time of period, so the effect of trading volume of expiration day doesn't exist. Then, it uses the maturity test to compare the rate of return of expiration day and that of non-expiration day, discovering that there is no remarkable difference between, which confirming that the price effect of expiration day isn't remarkable. Lastly, it constructs the reversal effect model for measuring the expiration day, discovering that the reversal effect of expiration day isn't remarkable, too.So, it is not only to test the influence of China stock index futures on spot market of above-mentioned empirical studies but also to put forward the corresponding policy suggestions upon the system construction of stock index futures market and the push-out sequence of China's derivatives market.
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