On The Impact Of Stock Index Futures Listed On The Stock Market Volatility Empirical Research

China’s CSI300stock index futures was formally launched on April16,2010, which put an end to the situation of the uni lateral ization and no hedging of China’s stock market. This is really a milestone in the development of China’s financial market. This thesis takes the CSI300stock index futures as the starting point and gives empirical analysis of the change of the spot market before and after the listing of stock index futures and also the correlation between the futures and the spot goods. Some policy recommendations concerning the development of China’s stock index futures market are put forward based on the analysis.The samples selected in this thesis are the CSI300index data and the futures price from April16,2009to April16,2011. A GARCH model is established to provide a comparative analysis of the fluctuations of the spot market with the listing date as the split point. Also a preliminary study on the relations of the two and the functions of price is conducted through ADF test, Granger causality test and VAR model.The empirical results show that:First, the listing of stock index futures reduces the overall market volatility in concentration, persistence and risk. But they still remain at a relatively high level and show an unstable trend in change. Second, the spot market has always been non-symmetrical. The value of y takes a trend a "inverted U" shaped. The overall trend is good and the information processing capabilities and sensitivity have improved a lot. Third, risk compensation status has been improved but does not match with the risks borne. Fourth, there are no mutual directive relations between stock index futures and spot goods. The spot guide the futures. Fifth, the relations between the futures and the spots are balanced and stable. The stock index futures are not sensitive to the lag phase and have a low efficiency of error correction. Sixth, the functions of price of the stock index futures and spot are asymmetric to efficiency. The spots have a bigger influence on futures than vice versa. Therefore, the following policy recommendations are proposed based on the empirical results.