| Since the birth of Stock index futures, it’s always famous about high-risk and Lever effect. At the same time, It provides market participants with the function of both hedge and price discovery. Therefore, when the first stock index future was invented in the1980s, it becomes popular by investors in stock market. On Apr162010, CSI300Index future was invented, which was the break of capital markets development of our country more than20years. Before that, there is only one-sided nature of market. The CSI300Index future may reduce systematic risk.The relationship between stock index futures and stock spot market is always subject of domestic and international scholars. The key point is wave aspect, and the price impact from index futures to stock spot market were also being studied by many scholars. There is also a summary of general theory between index futures and stock spot markets, including the causes and mechanisms for prices and wave aspect.To study the impact of our index futures to the stock spot market, the dissertation learned sthenic syndrome methodology for price and wave aspect, getting the sample of CSI300index futures and CSI300index. After studying by different model including Garch model、VAR model VECM model、impulse response and variance analysis, we learned the price and wave aspect between CSI300index and CSI300index future. Results showed that launch of index future reduced volatility, though the influence was quite small. However, index futures did increase volatility of stock during simulated trading in2006. Besides, CSI index future’s price made significant effect on the index price. It also leads the index’s price.After getting the result of positive relationship between index futures and spot market, the dissertation summed up experience and lessons. Regulatory authorities should perfect the laws and regulations system, improving the information transmission mechanism, and strengthen investors’education, which will thus make the capital market more perfect. |
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