A Study On The Impact Of CSI300Index Futures On The Volatility Of China’s Stock Market

CSI300index futures not only brings investors much profit, but alsobears much unpredicted risk. The impact of the CSI300index futures onChina’s stock market has become the current hot topic, especially theimpact on the volatility of China’s stock market.Currently, the method commonly used in researching on the impacton the volatility of China’s stock market is comparing the samplevariance of the stock before the launch of stock index futures and afterthe launch of stock index futures. This approach implies an assumption:macroeconomic fundamentals should not change greatly before and afterthe launch of stock index futures, which is obviously impossible. Inaddition, this method is also vulnerable to the impact of sample selectionand data frequency.In this paper, on the basis of comparing the sample variance beforeand after the launch of stock index futures with GARCH model, we Studyon the Impact of CSI300Index Futures on the Volatility of China’s Stockwith multivariate volatility model. Based on the mechanism of the impactof the CSI300index futures on China’s stock market, the empiricalsection of the paper selects the five minutes of the closing price of CSI300Index to depict the volatility of the return of CSI300with GARCHmodel. Then we research the impact of CSI300index futures on China’sstock market by comparing the return of CSI300before the launch of the CSI index futures and the return of CSI300after the launch of the CSIindex futures. Meanwhile, the paper establish EGARCH model toresearch the leverage effect of the stock market. Moreover, we createPARCH model to research the asymmetric effect of the stock market, andexplain the impact of the CSI300index futures on China’s stock market.Finally, this paper uses DCC-MVGARCH model to research the impactof the CSI300index futures on China’s stock market. The empiricalstudy finds that there is a positive correlation between Stock index futuresand the stock market, and this correlation changes over time. The launchof CSI300index futures reduces the volatility of the stock market.Investors can use stock index futures to reduce the systemic risk andavoid the risk of the market effectively. Meanwhile, whether it is goodnews or bad news, the impact on the volatility of China’s stock marketappears to slow down after the launch of CSI300index futures market.The launch of CSI300index futures reduces the asymmetric effect of thestock market. Finally, some suggestions are given to prevent risk of thestock market and to promote the healthy development of CSI indexfutures market stock and the stock market.