Study On The Impact Of Shanghai&Shenzhen300Stock Index Future Launching To The Stock Market Volatility

Shanghai&Shenzhen300Stock index future begin formally traded on April16,2010. Theoretically, stock index future has a lot of functions, including pricediscovery, hedge, risk management and index tracing, and is an important tool inportfolio management and risk management. However, every coins have two sides,the stock index futures is not excluded. It increases the transaction risks of the wholemarkets with the immense benefits it brings in.As the first derivative financial product in China, the Shanghai&Shenzhen300Stock index future has attracted world wide attention. The whole market cares abouthow the future influences the stock market and whether it is effective in reducing thevolatility of the market. But, due to the unavailability of the trading data, relevantresearch is not sufficient yet. So understanding the influence of the index future to themarket will be of great value to the judgment of whether the future is runningsmoothly and whether it can be used in portfolio management.The ARCH model widely applied to describe the volatility clustering of financialassets is also applied in this paper, which making the model more fitting andinterpretation. Article collected the CSI300stock index before and after the launch ofthe CSI300stock index futures as the transaction data, to analycis and compare thecharacteristics of a two-stage sample. Article introduces a dummy variable, whichcreative a new way to detect the impact of CSI300stock index futures launching tothe stock market volatility. Through this research, we find that the list of the Shanghai&Shenzhen Stock index future changed the running regulation of the index but haslittle effect on the volatility. Shanghai index and Shenzhen index are all reduced at ainsignificant level and the market as a whole is not well influenced.This passage first introduces the background and the significance of the researchand then draws a conclusion on existing researches. After introducing the method ofdoing this research, the innovations and defects are also specified. In chapter2, thepassage introduces the definition and characteristic of the index future. It alsointroduces the function of the index future. In chapter3, some possible transmissionmechanism is discussed. Chapter4illustrates the fundamentals of the ARCH modelsand set up some models to analyze and makes some conclusions. The last chapter isthe conclusion。...