The Impact Of CSI300Index Futures On Stock Market And Their Relationship Research

The CSI (China Securities Index)300index futures Launched by china official On April16of2010, has changed "unilateral stock market" to "bilateral" investment market. However, academic and economic professionals had a hot debated before it launched. The ones calling for the introducing CSI300index futures argued that "bilateral investment market" could improve market efficiency and the price discovery function. And this is benefit for the investors hedging and controlling risk. Others opposing CSI300index futures considered that the market would be manipulated, medium and small investors would be threatened because the current environment wasn’t open and transparent, and regulatory rules were lack. Futures builded in the basis of spot for the purpose of hedging. Its price trend is decided by spot price and demand. But the margin system and cash settlement system make the financial futures as a host from a guest in many markets. So the phenomenon is appeared that futures liking the dog tail is no longer swing by the spot liking the dog body shaking but the dog’s tail pulls dog body swayed.This paper will use the first transaction data to study the CSI300index futures impact on China’s stock market volatility, for assessing it function of stabilizing market and positive effect or aggravating fluctuation and negative effect. Also it will help participants understand their relationship to hedge and control investment risk. In addition, exploring their lead-lag relationship between the CSI300index and CSI300index futures has important guiding role for the stock and futures investors.In view of the above research direction, the first chapter introduces the research background, significance, content, method, structure. The second chapter introduces the research status, financial futures function, China’s the CSI300index futures system. In the third chapter, the paper adopt the GARCH model containing a dummy variable to research market volatility changes of CSI300index daily and weekly returns series from January1,2009to July31,2011and takes April16,2010as the segmentation. In the fourth chapter, the paper adopt the VAR model and Granger analysis method to explore the lead-lag relationship between the CSI300index and CSI300index futures taking their daily retunes series from April19,2010to October13,2011. For the lead-lag level, the paper makes the CSI300index and IF300contracts per minute returns series as a sample to study. Finally, some investment advices are proposed for the stock market and futures participants based on the conclusion of this study.