An Study On The Impact Of Stock Index Futures Trading On The Stock Market Volatility

Choosing the CSI300as its object, the study explores the futures dealing’s impacts onthe stock market by making an analysis of the relationship between the CSI300IndexFutures and the CSI300index volatility. This study selects GARCH model to find outwhether there is a structural change in stock index return volatility and selectsEGARCH model to make sure whether there is an effect on the leverage of stock spotprice.The results show that the stock index futures and stock index synchronization is verywell. Granger causality test results suggest that fluctuations in the CSI300indexfutures ahead of the volatility of the spot market. CSI300stock index futures have aslight influence of decreasing the volatility of the Shanghai stock market andShenzhen stock market. Which suggest that the CSI300index futures trading hasstarted to play a role in avoid market risk and hedging. However, due to theimmaturity of the financial futures market, we cannot find evidence of the running ofprice discovery and any other functions of futures market in China’s financial futuresmarket. According to the spot market volatility, the influence of prior periodinformation increase while the response to current information decreases, the speed ofinformation transmitting tend to be slower.China’s financial futures market regulatory authorities should continue to introduceinstitutional investors involved in futures trading, establishing appropriate Investorsmanagement system, to nurture mature stock index futures investors, which willprovide healthy and stable development of China’s financial market to provide thenecessary risk barrier.