A Study Of The CSI300Stock Index Futures’ Influence On Spot Market’ Volatility

Stock index futures has characteristic of short mechanism, low transaction costs, high liquidity, while with price discovery, asset allocation, hedging and other functions, now it has become one of the world’s most active financial derivatives. April16,2010CSI300stock index futures officially launched, which help to improve the structure of the domestic market, it has become an important part of the internal mechanism of China’s stock market. It will bring a significant influence to China’s capital markets,at the same time, the brokerage firms and other intermediaries operating mode and investor behavior patterns will be changed dramatically.The development of stock index futures is always along with a lot of theoretical research, of which stock index futures and spot market volatility relationship has been a hot topic. Most of the studies targeted market is the mature markets of developed countries, less the emerging markets of China. Therefore, this article will be on the basis of extensive research, combined with the development of domestic CSI300stock index futures, use GARCH model on the CSI300stock index futures and spot market volatility relationship, and produce such fluctuations in a proper analysis, and strive to achieve a better conclusion.This article will do qualitative and quantitative complement each other and mutual authentication through a combination of theoretical and empirical. This paper is divided into five parts:The first part is the introduction, which introduces the research background and significance of this article is mainly a brief research background and significance, the research ideas, methods and frame structure, as well as innovation and the difficulties faced; the second part is the research summary, which review and comment the literature on stock index futures and spot volatility relationship and the induction; the third part is the theoretical analysis, with a brief introduction of the domestic stock index futures development process and the development status of the CSI300stock index futures and spot price fluctuations between the theoretical analysis; the fourth part is the empirical analysis, mainly uses the yield sequence as price fluctuation change degree of indicators, using GARCH model relevant empirical analysis, and through the virtual variable to stock index futures in before and after the fluctuations to comparative study; the fifth part is the study conclusions and recommendations, mainly sums up the result of this paper and offer risk control and regulatory proposal based on the combination of the present situation of China’s economy and the stock market and the possible influence factors of China to the development of stock index futures.Through to on the theoretical and empirical analysis of the stock index futures, on the basis of GARCH (1,1) model this paper finds out that stock index futures will decrease slightly to the spot market volatility of influence, but not significantly, and other information to the spot market volatility of influence than new information. At the same time, some enlightenment:in order to make better use of each function of stock index futures, China should improve market mechanism in capital market level, financial derivatives level and investors level in further.