Study On The Stock Index Futures’ Impact To The Stock Index

The introductions of stock index futures have an impact on the stock index yieldcharacteristics, which is generally accepted, but now most studies have focused on theeffects of the introduction of stock index futures on the corresponding index returnvolatilities, the purpose of this paper is to research the seasonality effects of theintroduction of stock index futures on the underlying index in Chinese market. the studieson this fields mainly focus on the U.S. and Japanese markets, Robert W. Faff and MichaelD. McKenzie,(2002) extended to seven mature markets. For Chinese markets, a lot ofliteratures have study the seasonality effects in different time periods, but there is notliterature which examine the effects of the introduction of the CSI300stock index futureson the daily seasonality of the underlying share index.In this paper, we examine the effects of the introduction of the CSI300stock indexfutures on the daily seasonality of the underlying share index,including Shanghai andShenzhen300Index, SSE180Index, Shenzhen100Index, CSI500Index. This paperexamines the daily seasonality effects for the following three aspects: the dailyseasonality of mean returns, the daily seasonality of return autocorrelations, and the dailyseasonality of return volatilities. Each index return is modeled using an improvedGARCH (1,1) model augmented by five days of the week dummy variables in both themean and the variance equations. We take on an empirical test using two group of data.According to a variety of Wald tests, we find that: The introductions of CSI300stockindex futures trading reduce the seasonality of return volatilities, but the seasonality ofreturn autocorrelations does not seem to be affected by the introductions of CSI300stockindex futures trading, the conclusions of the tests between two samples are basically thesame, and the conclusions are similar to the mature international markets, but there aresome differences in the findings of the seasonality effects on the three index under theintroductions of CSI300stock index futures trading.This paper makes some innovations. First of all, The existence time of CSI300stock index futures is short, there are still not research to examine the effects of theintroduction of the CSI300stock index futures on the daily seasonality of the underlyingshare index, This paper is the first to do this work to Chinese markets and leadinginternational market research in this area results were compared, the conclusions cancompare with the conclusion of the existing literature refer to mature international markets, to find similarities and differences, to analyze the reasons, our empiricalconclusions is similar to the mature international markets for the Chinese market,especially on the effects of the introduction of the CSI300stock index futures on thedaily seasonality of return autocorrelations, and effects on the daily seasonality of returnvolatilities，this is consistent to the mature international markets; Then our improvedmodels take into account three factors：the daily seasonality of mean returns, the dailyseasonality of return autocorrelations, and the daily seasonality of return volatilities, ourimproved models can use only one step to test the impact on these three aspects, at thesame time we test the daily seasonality effects of the introduction of the CSI300Indexfutures trading on three market index, this increase the robustness of the conclusions.