The Study On The Effect Of Stock Index Futures To Stock Markets' Volatility

Whether the introduction of stock index futures on stock volatility of the spot markethave significant impact,so far there are a lot of controversy in economic circles and practicedepartments。There are two main views :the introduction of stock index futures have beenimproving the volatility of the spot market,and the introduction of stock index futureshave a little effect on the volatility of the spot market。The two different views above show that how the introduction of stock index futuresaffect the spot market is still no conclusion now。In this paper,we do further study onthe problem by using the empirical method on the basis of research results and a largenumber of literature。Because the stock index futures have not been introduced into ourcountry ,so the research of this paper only depends on the data of other countries。Theresearch of this paper do a new attempt to do guidance on the domestic market by thedata of foreign markets。It is hope that through this study of this paper we would deepenthe understanding of stock index futures and the effects of the spot market。In order tomake reference for development of stock index futures in China。The paper select the Nikkei DOW 255 index futures to study, and then analysefarther the impact on the volatility of the spot market after introduction of stock indexfutures by the establishment of the model. By using stock index futures trading after theintroduction of the index data to establish GARCH model, because the GARCH modeldoes not take into account the current interference of the positive and negative changesin the direction of the impact of its own variance,so we make the further improvementof the model,and build the EGARCH model and TARCH model。Finally we get theresult that the introduction of the Nikkei DOW 255 index futures has little impect on thevolatility of the spot market and if the stock index futures is introduced into hometown,theintroduction of the stock index futures will lower the volatility of the stock market。Butif the foreign countries introduce into the index futures that is on the basis of the index of our own stock index futures,The contract is most likely aggravate the volatility of itsstock。So our own country mast be launch of stock index futures as soon as possible。...