An Empirical Study On The Impact Of CIS300Index Futures On Spot Markets

After U.S. launching the stock index futures in1982, the stock index futures developed quickly in global market, and also have been generally accepted by government regulators and investors. In recent years, emerging markets stock index futures of emerging markets also developed quickly. Korea, Taiwan and India and other countries also launched the Korean index futures, the Taiwan Stock Exchange weighted index and India index futures products respectively. With China’s capital market matures and the promulgation of relevant laws and regulations, China also launched the CSI300stock index futures in April16th,2012. The listing of CSI300stock index futures further improve the structure of China’s capital market, and also increase the mobility and effectiveness of capital markets. But the impact of stock index futures to the spot market is still in controversy in the academic community. After reading and analyzing the literature of the impact of stock index futures to the spot market, this essay uses empirical research model and CSI300transaction data to analyze the impact of launching CSI300stock index futures to the sport markets from three aspects:volatility, liquidity and constituent stock premium.This article uses the GARCH model and dummy variables to test the changes of spot markets volatility after the launch of the CSI300stock index. After empirical research, we found that after launching the CSI300stock index futures, stock market volatility has significantly increased. And this article also use TARCH model to study the spot market reaction to good information and bad information before and after the launch of the CSI300stock index futures. After comparing the TARCH coefficient of the two samples, this article found the asymmetry reaction of spot market on good information and bad information significantly reduce significantly after the introduction of CSI300stock index. To research the impact on the spot market liquidity, the article uses the CSI300closing index and trading volume to calculate the Martin indicators to measure the liquidity of the spot market and use the dummy variable D to perform regression analysis. The results show that the liquidity of the sport market reduced after the introduction of stock index futures. This article uses the CSI300index constituent stocks closing price and non-constituent stocks closing price to calculate the excess rate of return combined, and then perform the event study to do the empirical research. The results show that the CSI300index constituent stocks premium began to show a year before the launch of the CSI300stock index futures and constituent premium proportional to the weights in the CSI300index.This article can be divided into the following sections to study:The first chapter is the introduction, which mainly describes the background and significance of the topics, research ideas and the framework of this paper, the difficulties and innovation. The second chapter is a model introduction and literature review of the impact of stock index futures on the spot market. The third chapter is the Introduction to the course of development of the global stock index futures market and China’s CSI300stock index futures market. Chapter four is the empirical research of CSI300stock index futures impact on the spot market volatility, liquidity and constituent stock premium. The fifth chapter is the policy recommendations based on empirical conclusions.