| As one of the important financial derivatives, stock index futures has an immeasurable effect on the system risk of the stock market. Because of its huge role, so since the world’s first stock index futures contract in the United States since 1982, the stock index futures soon swept the global capital markets. China’s capital market started late, the stock index futures have also been unable to launch, which led to the decline in the stock market in A, investors suffered huge risks. After many years of exploration and preparation, China’s CSI 300 Index futures finally officially launched in April 2010, investors have been expecting for many years to achieve.It is true that stock index futures have a major role in hedging, price discovery and risk aversion. However, the introduction of stock index futures can reduce the volatility of the stock market, the role of a shock absorber, which requires us to carry out an empirical test. Abroad as early as some scholars use mature market data made a large number of empirical studies on this issue, however aggravate the fluctuation and reduce the volatility and stock index futures on the volatility of the stock market did not influence the three conclusions are. Chinese scholars also use only data of SCSI 300 Index futures led to changes in the volatility of stock market is studied, the conclusions are not consistent. Now the distance between CSI 300 Index futures has been launched for 5 years, already has sufficient data to study this question.Based on the above reasons and conditions, this article from the basic theory of knowledge, starting with the introduction of the stock index futures connotation, characteristics, functions and stock index futures and stock market price relationships, then more system introduced related theory of volatility, including the definition of volatility, the stock market is the dynamic causes of stress wave, measurement methods and transmission mechanism. Next, a empirical analysis: first of all, we select the 2010 April 16 circles from April 2005 to April 8, to 2015 on April 30, the CSI 300 Index data, excluding the abnormal data, the CSI 300 Index logarithmic return rate is obtained by the calculation, introduced the CSI 500 index as an alternative to the variable to replace the change of economic factors on the volatility of stock price index effect, making the conclusion more persuasive. The empirical results show that CSI 300 Index futures can be very small to reduce the volatility of the stock market, or the impact of the CSI 300 stock index futures on the volatility of the stock market is not significant. Then by using cointegration test show that the CSI 300 Index futures and the CSI 300 Index both there is a long-term equilibrium relationship. Through the impulse response shows the influence of the CSI 300 index on the CSI 300 Index futures is far greater than the influence of the latter on the former, and the variance decomposition indicate that the variance of the CSI 300 index most from on their own, very small influence on the CSI 300 Index futures. Based on the above empirical results, this paper draws the conclusion: the CSI 300 stock index futures to reduce the CSI 300 stock index volatility only very insignificant role, but the CSI 300 Index on the Shanghai and CSI 300 Index futures.At the end of this paper, based on the results of the study, the entire article are summarized, some suggestions and measures are put forward, for regulatory authorities and investors. At the same time on the CSI 300 Index to CSI 300 Index futures influence reason and try analyze. I hope these conclusions and suggestions for the development of China’s capital market plays a certain role. |
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