The Empirical Research On The Effects Of Introduction Of Stock Index Futures On Stock Market

The earliest global stock index contracts-value line index futures contracts，werelaunched on February24,1982in the United States Kansas traded futures exchange (KCBT),it marks the birth of a new risk management tool. After the launch of stock index futures inAmerica, many countries follow has introduced stock index futures trading. Stock indexfutures has become one of the financial futures varieties, it has the largest trading volume, themost significant influence on spot market, and used most widely.Compared with the developed world capital markets, Stock index futures trading inchina started late, Csi300stock index futures contracts is officially launched in our country asthe first stock index futures varieties, started trade On April16,2010in the China financialfutures exchange (CFFEX). The launch of stock index futures trading, has Changed the statusquo in china,that stock market unilateral trade and Lack of financial hedging tools,it’s asignificant step in the process of capital market reform in China,and has great significance Inthe history of development of capital market in China.In this paper，qualitative analysis and empirical analysis have been combined to studythe impact of the introduction of stock index futures on the spot market. This paper studiestwo markets, as China and Hong Kong. Because Hong Kong’s hang seng index futures marketoperation time is long, and developed more mature, while the Csi300stock index futuresmarket is still in the development initial period,through empirical research We can find thesimilarities and differences through compare the results of the two markets. The conclusionsare more targeted and persuasive which we got are based on the analysis of the similaritiesand differences of the two markets, to reference mature futures market developmentexperience.The study of this paper is expanded in two dimensions ways: First，examine the long-runequilibrium relationship between stock index futures and stock index after the introduction ofstock index futures,second, study the change in stock market volatility after the introductionof stock index futures.For the first research, we can establish co-integration and errorcorrection model for stock index futures price series and stock index series. For the secondresearch, we can construct the GARCH, TARCH and the EGARCH model for the two stagesbefore and after the introduction of stock index futures. Research conclusions are as follows:The study indicates that there is a long-term positive correlation relationship betweenindex futures and stock index in mainland China and Hong Kong. When the stock indexdeviated from the long term equilibrium, the equilibrium trend will adjust the non-equilibrium station to the equilibrium station. Csi300stock index futures introduced slightly reduced the spot market volatility, but the launch of the hang seng index futures is slightlyincreased the volatility of the spot market.After the launch of The hang seng index futuresand the Csi300index futures,the underlying index spot market information transmissionefficiency has been improved. At the same times, the asymmetric effects on the spot marketare also enlarged.