Impact Of Stock Index Futrues On The Volatility Of Stock Markets In China

This dissertation is a study on stock index futures in China. The stock index futures, with stock index as its underlying asset, are brand-new derivatives derived from the stock markets. They are settled by cash at expiring date and called the most inspiring financial creations in 1980s. As born with advantages, stock index futures’transaction scale grew rapidly in the last nearly 30 years. And their impact on stock markets is more and more significant these years.Stock index futures are mutual investment tool in many countries and areas. Its impact on volatility of the stock markets is always the focus of academe. There are three different opinions about the change of stock market’s volatility after the stock index futures are in trade supported by empirical researches. The volatility of stock market will be larger, unchanged or smaller. To solve the question that "Does stock index future lead the stock market crash?", this thesis presents the conception, the process of creation and development, the figures, the functions and the possible risk of stock index futures, as well as the scale of our stock market and the framework of its investors. Then it summarizes domestic or foreign research results about stock index futures’impact on stock market’s volatility and impact of our CSI 300 index futures’mock trading on its index’s volatility.It has been nearly one year since we started our own stock index futures at April 16,2010. The daily data of future contract IF1009 from April 22,2010 to September 17,2010 and daily data of the CSI 300 index from November 23,2009 to September 17,2010 are chosen to be samples, which are used to examine the effects of the introduction of stock index futures on the stock market in China. There are two aspects from which this thesis focuses. One is to find out whose volatility is higher by comparing the descriptive statistics of each series; the other one is to find out how the introduction of stock index futures affects the volatility of stock market.By adding a dummy variable D to the GARCH model and EGARCH model, we get the conclusion that the introduction of stock index futures made the volatility of stock market higher, meanwhile it reduced the asymmetric impact of good and bad news on stock market and improved the stock market efficiency.On the bases of the research results and the situation of our stock market, this thesis ends with some suggestions to supervising authorities and investors. Considering the situation that our HS300 index futures’transactions started recently, our research is based on limited data and foreign experiences. The real impact on volatility is expected to be researched after the transactions of CSI 300 index futures are perfected in the future.