An Empirical Study On The Impact Of Introducing Stock Index Futures To Spot Market

Stock index future is an agreement between two parties to buy or sell a stock index at a certain time in the future at a certain price. Stock index future is a kind of financial futures which are settled by cashes, and is often used to set off the system risk of the stock market. What's more, price discovery, reducing volatility, and increasing trading are also considered as the stock index future's function.The objective of the paper is the Shanghai and Shenzhen 300 Index and the Shanghai and Shenzhen 300 stock index futures stock index. April 16,2010, China launched the Shanghai and Shenzhen 300 stock index futures contracts, the introduction of stock index future has important significance for our stock market for its continuous development and improvement. So far, however, the introduction of stock index futures is less than a year's time, the market is still in its infancy stage, the relevant laws and regulations are not perfect, the relevant theory is not mature, and the market participants can not understand the stock index futures very well. So at this stage, it has important theoretical and practical significance to study the effect on the stock market of the introduction of stock index futures.This paper studies the problem of the spot market volatility after the introduction of stock index futures and price-related issues between future market and spot market. For the component of volatility, by introducing a dummy variable M, using GARCH model research the volatility change of the spot market. Study found that the introduction of stock index futures did not make the stock market volatility change significantly. For the component of price correlation, basing on the stock index change, the A-share market will be divided into downward phase, rising phase and adjustment phase. For each stage, we study the price correlation using a model as'Stability test-Granger Causality Test-Co-integration-Error correction model'. Study found that on downward phase, between the future market and the spot market, there are short-term equilibrium relationship and long-term price equilibrium relationship. However, on rising phase and adjustment phase, there are not short-term equilibrium relationship and long-term price equilibrium relationship between the future market and the spot market.