A Study About Our Stock Index Futures Influence On The Stock Market

On the stock index futures operation practice and related studies indicated that,the stock index futures on the stock market have a certain influence specificallyexpressed in the stock index futures on the stock market price, liquidity and volatilityetc.Our country stock index futures moves for one year, whether there is influencedoes it to Stock market’s? Has become a Our country Financial circles’ attention spot.This article takes the object of study by CSI300stock index futures and thecorresponding CSI300stock, inspects our country to move for one year stock indexfutures to Stock market’s influence. From our country stock index futures on CSI300stock market price discovery function, liquidity and volatility to do the empiricalstudy. Using the Granger causality test, Var model, variance decomposition, Johnsonco-integration test and error correction model have conducted the empirical study toour country stock index futures about CSI300stock market’s price counter-presentfunction, discovered that our country stock index futures market was CSI300stockmarket’s causal relation, the stock index futures market is in a dominant position, onCSI300stock market have the function of price discovery, time of about5to15minutes in the leading stock market. Through the trading volume method, relativeprice and price and volume combination method on China stock index futures on CSI300stock market liquidity for the empirical research, from the whole year comparisoncan be found in the liquidity index values increase, but the value demonstration is nottoo obvious. The use of GARCH model for China’s stock index futures on CSI300stock market fluctuation empirical research show the stock index futures can reducethe fluctuation of the stock market and the weakening of information asymmetry onfluctuating asymmetry effects, but the overall effect is not too obvious. From theanalyzing delivery date by variance analysis, found that our CSI300stock marketdoes not exist the so-called" delivery date effect". Finally, from the governmentpolicy and the investor the article gives some suggestions, hope to be able tocontribute to a market economy to build socialism with Chinese characteristics.