Empirical Analysis Of The Introduction Of Stock Index Futures On The Spot Market Volatility

Stock index futures are the subject matter of the stock price index futures contract, both stock and futures characteristics of financial derivative products, with price discovery, hedging and speculative gain a variety of functions. Nobel laureate in economics, the well-known economist, Miller has the stock index futures as "the greatest financial innovation since the1970s." U.S. stock index futures was born in the1980s, for that appears to circumvent the risk of price fluctuations of stock market purposes. Stock index futures is the latest in financial futures products, but its development is extremely rapid, once launched on the market, trading volume is rising rapidly, driven recovery in the stock market. Subsequently, the volume growth is not only the rapid expansion of the size of the domestic futures market, but also led to a worldwide boom of stock index futures.Meanwhile, China’s securities market after more than20years of development, has become an important part of the national economy as a whole. The rapid development of the domestic economy, high-quality companies have the market to attract a lot of money into the stock market. In order to effectively avoid systemic risk, the increasing demands of large funds for the launch of stock index futures in order to improve the product mix. So our officially launched on April16,2010CSI300stock index futures trading, since fill the blank of China GDP as the only top20countries that stock index futures. But with the introduction of stock index futures in China, people also launched its doubts about the impact on the stock market. Some people think that it is an angel, its presence can improve the system of China’s securities market, reducing the volatility of the spot market; In contrast, others believed that it is the devil, its arrival has exacerbated market volatility. Therefore, the introduction of stock index futures on the spot market volatility to come in has become a lot of scholars and policy makers are increasingly concerned about the problem.A few studies on the introduction of stock index futures on the volatility of the spot market. Two stages of the spot market before and after the launch of the previous literature the vast majority simply concerned about the stock index futures volatility changes, but not of China to launch stock index futures research. We believe that this is not precise enough not scientific enough, because nothing is easy, for such a developing country, China’s securities market has experienced20years of development, but the capital markets relative to developed countries is still not mature enough, so my introduction of stock index futures is a continuous process of improvement. Since the introduction of stock index futures is a process, then the impact of its spot market volatility will not be static, according to China’s launch of stock index futures, phased detailed analysis of the introduction of stock index futures on the spot market fluctuations of influence, which has important practical significance. The other hand, does not use a traditional analysis of the volatility of GARCH Models to analyze the impact of stock index futures on the spot market volatility, instead of using propensity score matching (PSM) to match the control group corresponding to the experimental group, and during the vertical into the horizontal inter-group comparison, in order to eliminate the influence of factors other than the introduction of stock index futures on the spot market volatility, this approach foreign use, but not yet applied to China’s market research, so from this perspective, this article has some theoretical significance. Finally, we also hope to provide a reference for investors and policy makers through the text of the research.Through research, this paper draws the following three conclusions:First, the margin can effectively reduce the volatility of the Shanghai and Shenzhen300Index constituent stocks. However, at the same time, non-volatility of the Shanghai and Shenzhen300mdex constituent stocks intensified. This may be due to margin business in our country at this stage most of the underlying stock market shares, belong to the list of the CSI300index constituent stocks, the margin has a significant impact on the index stocks.Second, the initial stock of the spot market for stock index futures increased volatility. This is consistent with Stein,(1987) to build the model results. Stein (1987) pointed out that the noise speculators Fair makes the insiders of the noise traders reaction to make the appropriate decisions to correspond to the noise of speculators trading, which contributed to the volatility of the spot market. Furthermore, taking into account the early launch of China’s stock index futures, the market Shangqie immature, not mature retail more involved in the main and speculative atmosphere, these factors have exacerbated the volatility of the spot market.Finally,Hedgers were allowed to enter the stock index futures market, the volatility of the Shanghai and Shenzhen300Index constituent stocks and non-CSI300index constituent stocks were significantly lower. This may be because the information of the stock index futures, investors expect to be directly reflected in the volatility of the index stocks on affecting the stock market, investors’expectations, which further affect the volatility of the non-constituent stocks. Should be noted that, with the gradual development of the short mechanism, the volatility of the difference between the CSI300Index constituent stocks and non-constituent stocks showing a decreasing trend. Take into account at this stage special corporate hedging amount of access in its infancy, we can predict, with the mature stock index futures market, investors and the market continues to perfect, the stabilizing effect of index futures on the spot market will slowly emerge.