Study On Volatility Of Stock Index Future And Split Stock Reform

The article examines the effects on both underlying stock market and relatedstock index futures market caused by the Stock Index Futures. India NIFTY indexfutures and related spot index are selected as sample for the purpose of empiricalresearch and comparative study.Based on modern finance theories, among which the Market Volatility Theoryand the Efficient Market Hypo, the market risk level can be measured by the volatility.With Generalized Autoregressive Conditional Heteroscedasticity model (GARCHmodel), the paper carries out the empirical study on India NIFTY index futures andrelated spot index, and presents some independent results.The article starts with the definition and history of stock index future, andintroduces its character and elementary functions In Chapter one. Chapter two of thearticle summarized the preterit research about stock index future and found there wasfew research on developing market like China market. So with GeneralizedAutoregressive Conditional Heteroscedasticity model (GARCH model) added byvirtual variable, the article carries out the empirical study on India NIFTY indexfutures and related spot index and concludes how the Stock Index Futures influencesthe market volatility. In this chapter, we also test that the stock index future canreduce the system risk of stock market. In Chapter four the conclusions drawn informer chapters are reviewed and they are applied to the China's Stock Index Futuresresearch. The paper discusses the benefits and disadvantages caused by theintroduction of the Stock Index Futures in China, finds that it will reduce the marketvolatility and system risk. After the feasibility study, the article analysis therelationship between stock index future and split stock reform of SOE in China. Thearticle considered that in China introduce index future will be useful to split stockreform .