Csi 300 Index Futures Fluctuations On The Spot

China's capital market has entered a new era for the launching of the Shanghai and Shenzhen 300 stock index futures has not only changed the customs of the stock trading and the mode of market operation, but also brought new development opportunities to the securities and futures industry. However, Spot markets have fallen sharply after the introduction of index futures, which Stock index futures market has been questioned by the investors once again. This papers research the volatility changes of the stock market before and after the introduction of stock index futures, with the modeling techniques to uncover the impact of HS300 Index futures on the spot market at the micro level, and test the price discovery function. Therefore, this paper has provided certain practical suggestions such as the guidance on the strategies and policies for the regulatory authorities of development of stock index futures and references to the investment strategies for the investors.In the first place, this papers elaborate the main theories of effects of index futures trading on stock market volatility and information spreading efficiency, compare the major research methods and their characteristics and scopes, and describe the existing results in this subjects. Through a review of the literature, the ideas to test and verify with multiple sample intervals is proposed as the existing studies had pain not enough notices to the influences of the different sample interval. Secondly, based on the GARCH and TARCH model plus before and after comparison,this papers test and verify the effects of index futures trading on stock market volatility and information spreading efficiency in three chapters with three type of sample intervals in the form of 1 minute high frequency data included continuous interval, the control interval and short interval chapters. In the control interval, it is been divided into the unilateral group and the concussion group compared by diferent forms of the stock markets.During the empirical procedure, the economic environment evidence before and after the introduction of the Shanghai and Shenzhen 300 stock index futures has great changed, therefore it's not strict to compare with the "before and after" continuous Intervals. On the other hand, a continuous sample of the short length is more useful than the long ones in revealing subtle changes of stock volatility. Combined with different groups divided by certain standards, the demonstration under the control interval method, can keep some of the factors (such as fundamentals, movements) steady so as to research the effects between trends of futures and spot. Moreover, methods can confirm their conclusions each other. Finally, the conclusions suggest that the Also found that the Shanghai and Shenzhen 300 Index futures began to play a good role on stabilizing stock market volatility, because the volatility of stock markets has significantly reduced while the relevant regulatory authorities have issued the rules and guidelines for the institutional investors and investor structure completed, despite that it has increased in the beginning of the introduction of the Shanghai and Shenzhen 300 Index future.