The Study On The Volatility Impact Of China’s Stock Index Futures On The Stock Market

In this paper, the stock price index futures (Stock Index Futures, index futures for short) are the object of this study. Stock index futures arising from financial futures for the risk management of the spot market, the underlying asset of Stock index futures is the subject of the stock price index. Since the birth of the first stock index futures contracts in1980s in the United States. The size of transaction and influence of the stock index futures grow rapidly in the global. Along with the formal launch of stock index futures in April16,2010, the theoretical study on stock index futures to explore the study of China’s financial issues have important practical significance.In this paper, the development of stock index futures based on the general rules and theories, to the combination of theoretical and empirical analysis, contacting the research of other scholars, the experience of the introduction of index futures on China’s stock market index were studied. Primarily, ARMA model were established on the rate of return of stock index futures, then choose the best model by the comparing of Akaike information criteria and Schwarz information criterion. Secondly, this paper used pre-and post analysis and the introduction of dummy variables method to establish GARCH and EGARCH models and found that stock market volatility was becoming lower. In addition, the reaction of the information pattern has been improved, the price discovery function has been full played, and the stock market efficiency has been increased. Through the results of EGARCH model, we found that the same amount of bad news than good news generate greater volatility, whether it is good news or bad news, their impact together with the stock market volatility were reduced.Finally, through the combination of empirical research results and the actual situation of securities market of China, we should make practical recommendations for the purpose of stock index futures market and spot market development will become more mature and perfect.