An Empirical Research On Impact Of Stock Index Futures'Appearance On The Stock Spot Market

Since stock index futures born in last century 80s, just in 20 years development period, its dealing number and impact on world finance market grows very rapidly, which has been the most successful futures in the world. But stock index futures as a finance tool has high lever effect in finance market, when it bring a lot of return to the investors, also bring huge market risk to them, so it is necessary to discuss the impact of stock index futures on the stock spot market when china will launch first stock index futures recently, it has the realistic significance for investors and policies makers.Paper use GARCH model and non-linear GARCH model—STGARCH model as research tools and bring the dummy variance into the models to discuss impact of the stock index futures on stock spot market in Japan and Taiwan stock spot market, the conclusion of research is that the appearance of stock index futures strengthen the information transmission efficiency and make the volatility of stock spot market worse. Based on the former research, article compare the research conclusions of two stock spot market, and apply it to researching the launching of stock index futures in china finance market and then based on the research, article give its independent viewpoint and suggestion.