The Research Of Impact Between Stock Index Futures And Stock Market

Stock index futures has been appeared early in the capitalist countries, but in our country it just be considered to start, which is in an exploratory experimental stage. In February2006, China’s stock index futures preparatory group was established, and then the preparatory work commenced. In September2006, China Financial Futures Exchange was set up in Shanghai. On16th April,2010, China’s stock index futures listed officially. At the time of listing, China’s stock market fell just right in the stage, so people blamed the decline in the stock market to the list of stock index futures. It seemed at the time that people were not comprehended stock index futures. Stock index futures has been listed only more than three years, and our country was at the present stage of market economy reforms. The factors that caused the stock market volatility was multifaceted.How did stock index futures actually impact on China’s stock market? It is to be studied in this article content. The conclusions which this research was getted can be used as a complement to the stock index futures researchers, but also a reference.In this paper, we used nearly three years stock index futures data.On the one hand, from the microscopic point of view, we tested and estimated with the use of GARCH model and its extensions model, selected HS300stock index daily return data for examining determining and contrasting; On the other hand, from a macro perspective, basing on asset pricing CAPM model we could establish a macro-economic indicators of systemic risk.As the introduction of stock index futures, we researched the change of risk indicators to make sure the influence of stock index futures excluding some macroeconomic policies factors. With empirical research of this paper we had the following conclusions.1.Based on the traditional model of CAPM, the study concluded that:after a stock index future listed, the impact of new information on the stock market weakened. It explained that the velocity which the new information transformed into the stock market volatility has slowed, the impact of the old information on the stock market shocks has increased. After the listing of stock index futures, the underlying index of asymmetric effect reduced, the stock market there has been positive feedback trading, but the positive feedback trading eased after the listing. In general the stock index futures market makes the daily return of the underlying index volatility decreased66.95%, and brought the average volatility decreased41.07%.2.Based on the model of CAPM is better than the traditional model of GARCH, and indeed prove introduction of index futures reduces the volatility of the stock market, making the market more efficient.3.On the initial listing of stock index futures, about100days of the time, compared with the time prior to listing the systemic risk of the underlying index remained unchanged, after100days, compared with the time prior to listing the systemic risk factor began to increase,as time gone on the underlying index system the absolute risk remained relatively stable, compared with the time prior to listing the systemic risk of the underlying index were increased, as time gone on the rate of increase was quite obvious.