An Empirical Study Of The Effect Of Shanghai-shenzhen 300 Stock Index Futures On Its Spot Market Volatility

Shanghai-shenzhen 300 index futures in CFFE deal officially publicly listed on april 16,2010.As it is the first Chinese index futures and has broken the unilateral trading pattern long in securities market and provides investors with shorting mechanism, it caused attention from all walks of life. Especially since the launch of stock-index futures, what influence it have on the market volatility became a hot issue of scholar research.This paper was based on the extensive influence of the stock index futures, and the volatility of the stock market, research on the spot market volatility before and after the launch of stock index futures to analyze what influence it have on the volatility of spot market and how. This paper firstly reviews current studies on the influence of the stock index futures on the market volatility. Then the concept and characteristics of stock index futures, and meaning of volatility are introduced. The mainly introduces is the features and advantages and disadvantages of ARCH model and GARCH family model. Then, according to the time that the stock index futures are launched, establish three samples of different time intervals. According to their distribution and test results, the paper builds mean equations and conditional variances of different models respectively. After model estimation, the reactions of volatility of the two periods to the different messages before and after the stock-index futures is launched is compared. It turns out that the sensitivity of the market to good news is reduced , and the volatility of market to the bad news also responding by the original increase into reduced since the stock-index futures are launched. On analysis of the overall samples, nominal variablesωis introduced in to study the influence of the stock-index futures to the spot market. Through the empirical research, we found the launch of the stock index futures merely has influence on the volatility of the stock market, but reduces the market leverage widely and improves the efficiency of the market.