An Empirical Analysis Of The Introduction Of CSI300Index Futures’ Influence On The Volatility Of The Spot Market

Stock index futures, as one of the most actively financial derivatives traded in the international financial markets, has become an integral part of the modern financial system. The introduction of index futures can not only provide investors with a new investment product to diversify market risk, but also promoting the improvement of financial system, the effective operation and the healthy development of financial markets. Since its inception, the CSI300index futures have been widespread concern and attention. In order to make some small contribution to the development and improvement of related research areas, this paper take the CS1300Index Futures as research object, studies the influence of its introduction on spot marketIn this paper, it use both the before and after studies and the cross section studies to analysis the influence of CSI300index futures on spot market’s volatility with GARCH model. The results of this study indicate that:(1) The introduction of the CSI300index futures decreased the volatility of spot market slightly.(2)China securities market exists’Negative leverage effect’, it means the impact of bad news is more significant than good news.(3)The introduction of the CSI300index Futures improved the efficiency of the information transmission.The possible innovations are:(1)This paper presents the latest evidence of related study area, it selects the CS1300Index Futures as research object, and there is little research on it because of its short time to operation.(2) The research is more systematic and comprehensive. This paper uses a method of combining before and after studies and the cross section studies, and weed out the influence of other factors on the spot market through introduce the CSI500Index as control variables, such a systematic analysis is rare in domestic.