CSI300Stock Index Futures On Chinese Stock Market Influence Of Empirical Analysis

February24,1982was an important day, in this day of Kansas cityagricultural product futures exchange, the world first stock Index futuresValue Line Index futures contract listed trading. Who also have never thoughtof in after decades of development, it become the most widely used financialtools exist all over the world financial market. Until April16,2010, Chinesestock index futures market opened a new page, CSI300stock index futurestrading officially listed, it will give the appearance of Chinese financialmarket with far-reaching influence.This article chooses both the CSI300stock index futures from the date of itfirst listed until now, and the corresponding spot index data as the researchobjects. By the stock index futures function as the foundation, study theinfluence of the CSI300stock index futures on Chinese stock market in afterofficially launched. This paper using VAR model, the empirical partcointegration analysis, VEC error correction model, Granger causality test andGARCH model, GARCH-M model respectively on CSI300stock indexfutures price discovery function and hedging function of empirical analysis,use the binary GARCH model which based on the distribution of t to calculatedynamic hedging ratio. Draw the conclusion as follows: First, the launch ofCSI300Stock Index Futures have a good price discovery function to the spotmarket. There is a long-term stability of the equilibrium relationship betweenstock index futures and spot price. The price of CSI300Stock Index Futureshas a causal relationship to the spot price index, and at the same time, there isan opposite direction from spot price index to CSI300Stock Index Futures.Second, compare different models of hedging performance, respectively usingGARCH model, GARCH-M model and modified GARCH-M model analysis;And come to a conclusion that the optimal hedging ratio.This paper is divided into six parts. The first part is the introduction,include selecting significance and main job of the paper. The second part include basic concept of stock index futures; forming and development ofstock index futures; main functions of stock index futures and the structure.The third part is the literature review, discuss for the papers published byscholars both at home and abroad expound the function of stock index futuresmarket, such as price discovery function, arbitrage function, hedging functionand speculation function. The forth part and the fifth part are the empiricalparts. Analyzed the stock index futures market price discovery function andhedging function with models. The sixth part is the conclusions. Analysis theproblem of stock index futures market in our country, and puts forward somepolicy suggestions of the development of CSI300stock index futures in thefuture.We hope that the research of this paper about the list of CSI300StockIndex Futures in our country, may played a positive role in the futuredevelopment and maturity of CSI300Stock Index Futures, and promote ourcountry’s stock index futures market and cash market mutual benefit; give theinvestors specific suggestions in stock index futures market.