Stock Index Futures, Stock Market Volatility Empirical Analysis

Volatility is one of the most basic properties of the stock market, and it is also one of the important issues that the Quantitative Economics and statistics science are facing with. And it is closely related to the stability of financial markets, it is the core of financial asset pricing and asset allocation, and it is one of the effective indexes that reflect the quality, the pricing behavior and efficiency of the stock market. To The development of a mature capital market, there should be moderate, stable and small fluctuations. And too frequent and excessive volatility is not conducive to investment participants to make right investment strategies:it will also endanger the healthy, rapid and stable development of financial markets, and even induce the global financial crisis. Therefore. fluctuations in stock market returns and its influencing factors are in the academic and practice concerns. As most countries in the world have launched their own stock index futures, stock market volatility become more complex and more urgent. This thesis selects the volatility of Hang Seng Index daily return as the research object for its maturity. It also selects the daily transaction data in the days before and after the launching of stock index futures as the study samples. The empirical research on the stock index futures which is closely related to the Mainland stock index futures market is to provide some reference for the development of China's stock index futures so that the capital market would become a global financial power.Based on the theories about the relevant volatility of stock and stock index futures, the efficient market hypothesis, the literature on the actual characteristics of stocks and stock index futures volatility, this thesis tries to do the researches from the levels of volatility, liquidity, asymmetry, taking samples of Hong Kong Hang Seng Index daily return volatility information. It gives empirical analysis on stock index futures on the stock market volatility by the use of econometric methods. About The research method, because there is autocorrelation and heteroskedasticity in the stock index series, the traditional risk-return measure can not be used. Therefore this thesis uses the unit root test based on ADF, cointegration test, and currently the most cutting edge, improved family of GARCH-LM model as a tool to establish TARCH and EGARCH asymmetric leverage model, and gives sub-sample Analysis for dummy variables before and after the launching of stock index futures as well as the different stages of development before and after the launching of stock index futures, and then test the influence of the launching of stock index futures on stock fluctuations. The empirical results show that, GARCH (2,1) model fits best; the launching of stock index futures has little effect on the spot market, and reduces the volatility of stock index. But the impacts of the news to the volatility of stock index futures are different; the impact of bad news which affects the spot market is much larger than that of the good news. Thus, through the Hong Kong financial market analysis, some more successful, more mature experiences are proposed:we should enhance investor education, improve the relevant system and strengthen the spot and futures markets and take other measures to guide China's capital market to move forward better.This thesis is divided into six chapters:The first chapter is the introduction, including basic issues such as the research background, practical significance, studying routes and objectives, research methods and creative points. The second chapter is the theory analysis of the factors of the stock index futures and stock market volatility. Namely:overview of stock index futures, introduction of the characteristics of volatility and analysis of all kinds of factors influencing stock index futures and spot market. The third chapter is the proposing of the hypothesis for the stock index futures and stock market volatility. The study on the relationship between theory and empirical research on domestic and international stock index futures and stock markets are carried out systematically. The fourth chapter is the design and data filtering of the variables of stock index futures and stock market volatility. The fifth chapter is the testing and results interpretation of the hypothesis between stock index futures and stock market volatility, including the empirical research of the Hong Kong market, respectively, from the volatility, the impact of information on the stock market and asymmetric effects. The sixth chapter contains the conclusion and suggestions. It summarizes the influence of stock index futures on the stock markets, taking Hong Kong as the representative. Considering the status of stock index futures in our country, it is suggested that appropriate futures contract should be developed, regulation of national policy should be in continuity and two-way guidance of spot and futures market should be made and so on to protect the stability and healthy development of China's capital market.