The Empirical Studies Of Stock Indes Futures Impact On Chinese Stock Market Volatility

On 16th april,2010, China Financial Futures Exchange officially launched Shenzhen 300 stock index futures. When we considered about the basic function of stock futrues which was to present the investors of the capital market a place to avoid system risk of the market, we had to admit that the launching of shenzhen 300 stock index futures was a very successful one. Because of the presence of Shenzhen 300 stock futures, even with the huge drop of the shenzhen 300 index, the institutional investors still got a good profit during the first half of 2010. This result could prove the benefit of stock futures in China.On the other hand, what also coming with the great benefit of avoiding system risk, was the enormous market information, with the same ability of analysing information, investors no longer could get what he want from the market as soon as they did before. Also the shorting tools stock futures bring us could also bring our market more speculators, which means more risks for the market. On this condition, we would like to do some research to find out whether or not shenzhen 300 stock index futures could make the index more volatable. In this article we would use one year's datas of the returns of shenzhen 300 stock index around the time China Financial Futures Exchange launched shenzhen 300 stock index futures to istablish a GARCH model. According to our research, the stock index futures does bring more volatility to the stock market, our advice is to emphasis market supervise on institutional investors and speculation.