| CSI300stock index futures was launched in The China’s Financial FuturesExchange at the April16,2010，ending the history of a one-sided market withoutshort mechanism. The introduction of stock index futures not only provides investorswith a new hedging and risk management of financial instruments, but also afar-reaching impact on the volatility of the spot market. With the CSI300Indexfutures contract trading volume gradually increases, theoretical research andexploration on stock index futures has a very important practical significance in thestudy of China’s financial issues, which the CSI300index futures on the volatility ofthe spot market research, especially by the high degree of concern.Firstly，This article elaborates the theory of volatility、 the trading system ofstock index futures and the transmission mechanism of stock index futures impact onthe spot market，and In-depth analysis of stock index futures is how to influence thespot market. Then, through the empirical test, considering the impact of asymmetricinformation effects, it concluded that the CSI300stock index futures weakenedgreatly the volatility of the spot market, and negative information has more impactthan positive information on Chinese stock spot market, what is more, the conclusionhas been explained by the present situation of Chinese stock index futures market,information to deliver, the structure of the investors and design of the futurescontracts. Finally, according to the empirical results, this paper gives the furtherpolicy Suggestions to perfect the phase current market system in China.In research methods, this paper selects the ADF inspection to test the spot indexyield sequence, and uses the AIC guidelines SC criteria for selecting optimal GARCHmodel, and chooses EGARCH model which considers the information on the impactof asymmetric to test the spot index return series. |
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