A Study On The Relations Between Stock Index Futures And Spot Market

On February 24,1982, Value Line index futures contracts, the world's first stock index futures contracts began to be traded in Kansas City Board of Trade KCBT. Stock index futures as one of the most widely used financial futures, has been a more than 20 years' history. However, stock index futures are still in the embryonic stage in China. China's stock market is on a new round of growth period. After the share-trading reform, China's stock market is more standardized. China will soon launch its own stock index futures, the Shanghai and Shenzhen 300 stock index futures, which are trading in the simulation stage.From two tools, the volatility of the spot market after the introduction of stock index futures and GARCH model, the paper analyzes the experiences of Japan and Taiwan in the introduction of stock index futures and to provide China with reference. The main conclusions of this paper are as follows: firstly, the introduction of stock index futures will not change the long-term trend of spot share market. Secondly, the introduction of stock index futures will aggravate the fluctuations of spot stock market in the near future, but not in long-term. Thirdly, comparatively speaking, it is more suitable for the stock index futures to introduce on the rising period of the spot market.The full article divides into five parts altogether:Part one is an introducing part. It tells the target and the meaning of this thesis and the current situation studied both at home and abroad. The research procedure it uses is given in the end of this chapter.Part two talks about the overview on stock index futures, including the concept of stock index futures, contents of stock index futures contracts, characteristics of stock index futures, the function and role of stock index futures and the development of stock index futures.The third part and the forth part, the core of the full thesis, are the empirical analysis. By the tools, volatility and GARCH model, this chapter chooses the stock market of Taiwan and Japan as the study objects to test the effect of introducing stock index futures.On the basis of the conclusion of the empirical analysis, linking with the actual situation in China, the last chapter tells the timing of the launch of the China Stock Index Futures and the future prospects of stock market after the launch.