Research On Volatility Relation Of Stock Index Futures Market And Stock Market

"Does Stock Index Future lead the stock market crash?" To solve this question in the influence of this finance crisis,this thesis retrospects the development course of Stock Index Futures and summarizes the volatility affect of Stock Index Futures Market and Stock Market,after introducing the conception and the function and possible risk of Stock Index Futures. Now,we have prepared for the implement of stock index future.This thesis examines the effects on the volatility of the cash market before and after the introduction of Stock Index Futures in China.Time area of the data is from April 21,2007 to December 19,2008.In the volatility of stock index futures market and stock cash market,there are two questions to resolve.One question is whose volatility is higher;the other question is what influence the stock cash market,if we introduce the stock index future trade?By adding dummy variable D to asymmetric GARCH model,we get the conclusion that the introduction of Stock Index Futures don' t change the short-term fluctuations in the cash market obviously.Using EGARCH model to examine the volatility of the cash market.Before and after the introduction of Stock Index Futures in China respectively,we get that the introduction of Stock Index Futures send a message to the cash market faster and improves the stock market efficiency.The research findings of impacts on the introduction of Stock Index Futures on the volatility of the cash market are mostly concentrated on the mature markets,while paying little attention to emerging markets.Because of no Stock Index Futures trade at present,this thesis works on the research by using the mock trading datas.I want to dive useful advices to Chinese stock market.The research on volatility relation of Stock Index Futures Market and Stock Market should work on after the implement of stock index future.