The Study Of Impact The Stock Index Futures Bring To Stock Spot Market

Shanghai and Shenzhen 300 Index Futures was the first stock index that includes both Shenzhen and shanghai stock market in our country. So it can represent the whole spot market's operation condition. And Shanghai and Shenzhen 300 Index Futures was chosen as the subject index of our country's first stock index future. Its mock trading was introduced in October 30, 2006, after four years, formal trading was introduced.The issue of the stock index futures can influence the growth movement and the volatility of the spot market, so that is always the focus of the research. The volatility means risk. The risk is closely related to profit and meanwhile it represents the operational state of the spot market. So both investor and regulator are paying close attention to the volatility.This paper discusses the mechanism about how the stock index futures influence the volatility of the spot market. And on the basis of previous studies, we analysis the similar problem in our country using the methods that the previous study used. We make the empirical study about the Shanghai and Shenzhen 300 Index Futures return time series by the descriptive statistics method and GARCH model method. The result reflects that the stock market is running well after the introduction of Shanghai and Shenzhen 300 Index Futures. And the volatility is increased after the introduction of mock trading. But in the long run, the introduction of the formal trading not significantly affected the spot market volatility. We want to know that whether the change of the volatility is the result of the stock index future, so we make a further analysis about the series by dividing the sample interval into two subsamples.Through the analysis we found that the introduction of the stock index future not deteriorates the spot market. That implied that we design the contract and operate the process successfully. And the operation procedures are inspected and controlled strictly. So, in order to ensure the smooth operation of the spot market and the stock index future market, we must enhance the risk awareness and intensify the supervision about the risk.