The Influence Of Stock Index Futures On China's A-share Market Volatility Analysis

China Financial Futures Exchange offieially launched CSI300Stock Index Futures on April162010, which caused widespread concern of the community, also caused concerns about stock market volatility of the investors in the stock index futures increased. Because of the Academia conduct extensively empirical studies the Academia conducted, the present results can be grouped into four categories:stock index futures increased volatility of the stock market, stock index futures reduced the volatility, stock index futures hadn’t affect the volatility, stock index futures stock affect the volatility of a complicated impact. So, there are great discrepancy in the relationship between stock index futures and spot markets in terms of theory and empirical aspects.This article was amended on the widely used GARCH Model, in order to test the impact of stock index on the stock market volatility. This article also investigated the impact of stock index futures on the spot market as a whole and in small cap stocks, the study’s data were the CSI300Index and small cap index. The sample data is divided into short-term (three months before and after the listing of stock index futures of64trading days), medium-term (stock index futures market before and after1year a total of242trading days) and long-term (before and after the listing of stock index futures for the past three years a total of934trading days) three time periods, and the medium-term and short-term CSI300index data day and minute of two frequencies.Since the introduction of stock index futures to coincide with the introduction of the major bad policy, the macroeconomic environment has changed, the volatility of the spot market is also likely to be affected. This paper adopts the method of comparative analysis of the macroeconomic environment and the impact of stock index futures market is isolated from the study, the specific method of comparison is the contrast of volatility comparison of the different economic environment and the availability of stock index futures.Empirical evidence shows that increased stock market volatility, medium-and long-term perspective there is no significant impact in the short term the stock market as a whole, or in the small cap market, the introduction of stock index futures. The comparative analysis results also show that, shortly after the launch of stock index futures volatility increase is indeed due to the introduction of stock index futures. This article mainly due to pre-generated short-term impact from changes in trading patterns and emerging things on people’s psychological impact, rather than the impact of stock index futures market on the A-share market. With the continuous increase of the depth and breadth of the stock index futures market, the operation of the market mechanism continues to mature, short-term psychological impact of this based on changes in trading patterns, as well as emerging things gradually disappear.