The Study Of Mutual Relationship Between Stock Index Future And Stock Market Experience

China’s capital market has made remarkable achievements after20years development. Before2010，our stock market has been the lack of short tools that allowed investors to avoid systemicrisk. Based on this, Shanghai and Shenzhen300stock index futures came into being in April16,2010which has had a profound impact on the spot market.In this paper, I use the high-frequency transaction data to analyse the impact of stock indexfutures market on spot market both from theoretical and empirical, with a view to investors in-depth analysis of stock index futures market, the whole market depth change, and to provide somereference for management advice. This paper study the Shanghai and Shenzhen300stock indexfutures market and spot market, using the GARCH model and TARCH model with dummyvariables after the introduction of stock index futures to find whether is a significant change, theexistence of effects due date to spot market volatility. I study the lead-lag relationship oflogarithmic rate of return between the two markets by Granger causality test, impulse responsefunctions, variance decomposition analysis methods and point out the relationship under threedifferent trends of up, sideways and down.In volatility research, the results of this paper show that the spot market volatility hasincreased, but not significant and there was no maturity effect after the introduction of HS300stockfuture. The relationship of the guidance in the relationship between the two markets, this studyshows that the stock index futures market and spot market have the ability to boot each other. Atthe same time,the studies have shown that the conditions of down-trend in the stock index futuresmarket in the lead role on the spot market is more strong, while the guidance of the upward trendand sideways trend concludes a considerable with the whole intervals. In order to protect theintrerest of investors, Conclusions from the above description of our stock index futures marketand the complex relationship between the spot market, deserve investors and management to depthstudy.