An Empirical Study Of The Impact From The Introduction Of Shanghai And Shenzhen 300 Stock Index Futures On The A-share Market

The purpose of this study is to analyze empirically the impact of the Shanghai and Shenzhen 300 stock index futures on the quality of A share market, which are our country's the second stock index futures. In order to show that the stock index futures are important to the financial markets and overall economic development, this paper first expounds the background, with a brief description of the development of the foreign and domestic stock index futures. Next, the stock index futures are showed in detail, which means that this paper describes the history, concept and function of stock index futures, etc. After that, literature review which summarizes literatures about the relations of the stock index futures and stock markets on the quality of the stock market or spot market is given. In this paper, attentions are focused on the liquidity and volatility, two important measures of market quality, because there exists mature approaches to measure them, and the availability of data has a better advantage than other indicators. Many domestic and foreign literatures also attach importance to the empirical study of these two indicators. This article also details the theoretical background of ARCH model family and wavelet theory. These two theories are mainly used for the analysis of volatility. ARCH models have a good resolution on financial data clustering phenomenon, and have a wide range of applications in the volatility of the estimated financial data. This article will use the ARCH family of models of volatility to make the analysis. However, only ARCH family model also has some limitations. It can not distinguish a good high-frequency fluctuations and low frequency. High-frequency part is mainly reflected in short-term disturbances, while the low frequency components mainly reflect the long-term trends, it is necessary to have the volatility of the trend to be separated. Therefore, the theoretical background of this paper also introduces some basic concepts and characteristics of wavelet transform and the ARCH family models. Then the market quality is elaborated. The rest of this paper focuses on liquidity and volatility in the empirical research, and the explanation of the empirical results.The innovation of this paper is that, firstly, it provides new evidence about the impact of stock index future on the quality of the stock market. Secondly, on the quality of the volatility of the stock market indicators, this paper applies the wavelet method with multi-level analysis.The main conclusions are:first, the Shanghai and Shenzhen 300 stock index futures reduced China's A share market liquidity in short term,Second, in the long term, empirical results show that the Shanghai and Shenzhen 300 Index futures decreased mobility of A-share market, but mainly in terms of volume shrinkage; which may be related to the stock market volatility;Third, the Shanghai and Shenzhen 300 index futures lower A-share market volatility.In short, while Shanghai and Shenzhen 300 stock index futures in China A-share market have a positive impact on the quality, it also has a negative impact. The practice of stock index futures in China is still very limited. Regulators should make efforts to stock index futures research and regulatory work to promote the healthy development of China's securities market.