The Relationship Between China’s Stock Index Futures Market And Spot Market

In the1970s, the Western developed countries have been plunged into the oil crisis, and triggereda series of “stagflation” phenomenon; the market was in serious crisis. In order to avoid this risk at thatemergency time, people eagerly look forward to a new financial derivatives, which can stop the situationfrom bad to worse, at this time, in the United States, the world’s first futures contracts-Value Line futurescontracts(1978) have arisen. After this, all over the world, especially Western countries and some emergentmarket economy countries are carrying out their own country’s stock index futures market transactions, andhave accumulated rich experiences and wealth in the development process of these years, and have tastedthe benefits of the new financial derivatives.The development of the futures market in our country is relatively late, and the explorationstarted from the late last century, and experienced a series of ups and downs in the beginning, but also learna lesson and learn from the experience of successful countries in the process continually, and then cancarried out attempt and reforms better, and finally led to the birth of the CSI300Index. The CSI300Indexwas first introduced by the China Securities Index Co., Ltd. On October30,2006, which is a joint groupfrom the Shanghai Stock Exchange and the Shenzhen Stock Exchange, and four years later, transactionformally on April16,2010, because this index occupies60%of A-share market’s effective share, andtherefore have a better representation on the spot market, which can reflect the situation of the securitiesmarket effectively, in the two markets in Shanghai and Shenzhen, the Shanghai stock market has a moreprominent role in the motherboard market. This article selected the Shanghai Stock Exchange, the Shanghaistock market deta as representative of the stock market data analysis.The CSI300Index has three years of development from2010to now, although not a long time,have sufficient data can be analyzed. Because of the small sample size, there are many doubts onrepresentative of the researches results about the relationship between the futures and spot markets. Thisarticle is trying to collect more realistic data and do empirical analysis on this issue again, and docombination while study on previous research object at the same time, combination the gains of investorsdirectly linked to the volatility and price discovery rather than analysis one of any aspect, and hope can geta more powerful conclusion, in order to illustrate the reduction of the volatility of the spot market, whether it is caused by the stock index futures market? As well as the futures market can be fully play its fuction ofprice discovery?In this paper, we use the generalized autoregressive conditional heteroscedasticity model(GARCH model), which can play an important guiding significance for the decision-making of investors.To make empirical analysis from April16,2010to March30,2012CSI300Index and the ShanghaiComposite Index. The following conclusions can be obtained:1, The introduction of stock index futures isindeed effectively reduce the volatility of the spot market;2, Shanghai and Shenzhen300stock indexfutures can be eliminated from issues related to the index return rate. The transmission of information canbe more effectively performed.In this paper, we prove the formal launch of China’s CSI300Index is more successful, after all,our country is in the early stage of the development of the financial market, a variety of irrationalinvestment and market manipulation are quite serious, so in order to ensure that the market and the spotmarket running smoothly in the future, we must enhance risk awareness, and increase the risk supervisionto ensure the healthy and orderly development of the market.