| Stock index futures is an important financial derivatives, which takes stock price index as underlying assets. Although the introduction of stock index futures was relatively late, but its application and influence is enormous. Since the birth of the first stock index futures in 1982, its transactions and trading varieties have a shape growth, far ahead of other financial derivatives. It has become the most successful financial derivatives in the 20th century.In recent years, in order to improve the securities market structure and avoid the system risk, we did a lot of research and exploration around the introduction of stock index futures. The CSI300 Index Futures has finally begun trading on April 16,2010. So the studies on its influence of spot market's volatility become more significance. However, there is not a conclusion about its influence of spot market's volatility. And most of the studies are concentrated in the United States, UK, Japan, Korea and other developed financial market, little research on the Chinese market. Therefore, this paper take the CSI300 Index Futures as research object, studies the influence of its introduction on spot market's volatility with GARCH model and event study.In this paper, it used both the theoretical and empirical research methods. In the theoretical research, it used the mathematical analysis and qualitative analysis. In the empirical research, it used the GARCH model and event study.This paper is divided into six parts. The first part is introduction, which describes the background and significance, research structure and methodology, innovations and shortages. The second part is literature review, which summarize and comment on the related literatures both domestic and abroad. The third part is the theory of stock index futures, including a brief introduction of stock index futures, the relationship between its price and spot index price and a theoretical analysis of the influence of the introduction of stock index futures on the underlying spot market's volatility. The fourth part is empirical analysis based on GARCH model, which is the core of the paper, including the empirical analysis of the return series, controlling market factors' effects and adding futures market variables. The fifth part is empirical analysis based on event study method, which mainly studied the influence of the news of the introduction of the CSI300 index futures on the spot market's volatility in short time. The sixth part is conclusions and suggestions.The results of this study indicate that the introduction of stock index futures didn't transfer the futures market's greater volatility to the spot market; instead it decreased the spot market's volatility slightly and improved the efficiency of the information transmission. Specifically, it includes the following three aspects:(1) The introduction of the CSI300 Index Futures decreased the spot market's volatility slightly and improved the efficiency of the information transmission. In addition, China securities market exists high-yield high-risk characteristics and leverage effect. (2) The volatility of stock index futures is larger than the spot market, but the index futures'trading volume and open interest have no influence on the spot market's volatility. (3) The news of the introduction of the CSI300 Index Futures had no influence on the spot market's volatility.The possible innovations are:(1)This paper presents the latest evidence, it selects the CSI300 Index Futures as research object. And there is little research on it because of its short time to market. (2)The research is more systematic and comprehensive. Besides GARCH model, we also use the event study method did a supplementary study. And in order to make the results more true and reliable, the paper analyzed the issue through horizontal comparison, before and after comparisons and time series analysis. Such a systematic analysis is rare in domestic. |
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