The Effect Of Stock Index Futures To Stock Market

April 16, 2010, the HS 300 stock index futures, officially launched in China BeijingChina Financial Futures Exchange. The futures run has been nearly two years, theirsimulation trading is running more than four years. Stock index futures was born in theUnited States, the birth of the whole story of the 1980s in response to a series of questionsgenerated by the oil crisis was enormous systemic risk on stock market volatility, with thesteady progress of the world economy, the stock market booming, the stock index futures isdeveloping rapidly, many developed and developing countries have introduced for national oreven non-domestic spot market stock index futures, stock index futures financial markets hasbecome an integral part of. With the rapid development of China’s real economy, the varioussystems of the securities market has improved steadily and stock index futures will graduallybecome China to further improve the efficiency of securities markets, and improve animportant part of the allocation of resources. HS 300 stock index futures on stock marketvolatility and the HS 300 stock index futures price discovery function of starting todemonstrate against China’s actual situation, I hope to be found, in order for the stableoperation of the China’s stock index futures and futures growing range of products to providemodest means.This paper first introduces the volatility and price discovery and research results, then theHS300 index futures data as the study sample, empirical analysis of research results, evidenceis divided into two parts: The first part of the analysis of stock index futures trading on spotmarket volatility for the introduction of the GARCH model；The second part use the built invector error correction (VEC) model of Granger causality test analysis between the twomarkets, the long-run equilibrium relationship, to understand the use of impulse responseanalysis for further discovery function of futures and spot prices and the variancedecomposition method. By the empirical test results, we found that the stock index futures tosome extent exacerbated the volatility of the spot market, at this stage the HS300 stock indexfutures and spot is not significant price discovery function, the spot price in the dominantprocess of price formation.