A Study About The Effect Of The Official Initiation Of Stock Index Futures On The Stock Market

Stock index future's transition scale grows rapidly, since the first stock index future emerged in American Kansas futures exchange in 1982. After nearly thirty years'development, it has become the largest financial futures trading products of the world. Its functions, such as avoiding risk and stabling stock market, have been recognized by both investors and securities regulators. After more than ten years' preparation, China launched the first stock index futures—HS300 index futures—on April 16,2010. This paper focuses on the effect of the official initiation of stock index futures on the stock market in the followed year.The first part is a summary of the literatures of empirical research of domestic and foreign scholars. The next part introduces the related knowledge of stock index futures and theoretical model. And then,based on the previous research, this paper provide some analysis about the effect of the stock index futures on the stock market from three aspects. Beginning with the qualitative analysis about the stock index futures' initiation,the fourth chapter provides two empirical researches about the effect of the stock index futures on the stock market from three aspects. With the day datas from May 8,2005 to February 22, 2011 for samples, the first empirical tested the change of the volatility of stock market with the index futures through the ARCH model and GARCH model, and the second one found the relationship of their prices though granger casuality test and impulse response founctions by sampling the high frequency datas from April 16,2010 to February 22, 2011.The result of first empirical test is that there are no significant influences of the stock index futures to the stock market. And there isn't a leverage effect of bad news in China. Another empirical test shows that there is granger causality between future and spot goods. They also have price leading relationship mutually. But this relationship acts variously in different, and in short time interval it is significant. According to the former research, several advices are given in the end.