The Empirical Study Of The Influence Of Stock Index Futures On China’s Stock Market

This article draw on the experience of domestic and foreign scholars to the development of stock index futures and related theory based on a combination of qualitative analysis and empirical research methods, first introduced on the basis described the background of the development of stock index futures in the international and domestic CSI300stock index futures concept, features, functions and the difference with the stock exchange; Second, the use of event analysis:Screening of a larger series of events in the studied time range of domestic and international impact on the stock market, and these events is to analyze the impact of China’s Shanghai Composite Index; screening event factors, look only to the CSI300stock index futures on China’s stock market and for comparative analysis, the conclusions show that the listing of stock index futures affect the suppression of China’s stock market index, can stabilize the stock market ups and downs, and there is a strong leverage, risk-averse investors get a higher profit to help. The focus of this study in part to the use of event analysis on the CSI300stock index futures markets around the environment and the event filter and propose only to consider the CSI300stock index futures stock market volatility before and after contrast. The use of ARCH effect sub-period test CSI300stock index futures before and after listing on the Shanghai Composite Index yield the existence of conditional heteroscedasticity When residuals existence of ARCH effect, required the use of the ARCH model or its extended form depicts residual ARCH effect of this characteristics. GARCH (p, q) Empirical analysis of the CSI300index futures on stock market volatility, obtained the status quo of China’s stock market volatility. Finally, the suggestions to address the risk of China’s stock index futures.