Stock Index Futures And Empirical Research Volatility Of The Stock Market Under The Impact Of Events

Stock Index Futures is a one of the most important financial derivatives.Chinaintroduced the stock index futures in April16,2010. This opened a new era of China’sfinancial markets.So it is significant to study stock index futures thoroughly with respect tothe current situations of China.This paper has studied two parts.One is the volatility relationship between stock indexfutures market and stock market.The other is volatility changes of stock index futuresmarket and stock market under the different events impact.First,this paper generalized the domestic and foreign literatures on stock indexfutures.It also introduced trading rules,characteristics and functions of stock index futuresbriefly and explained the research methods and basic models.Then,this paper has calculated the volatility relationship between stock index futuresmarket and stock market by choosing the30minutes close series of the CSI300Index andCSI300index futures using S-PLUS software.As exist the long-run cointegrationraelationship,the prices and yields of the CSI300Index and CSI300index futures arebasically the same,with great degree.And the study found that the stock market impact onthe volatility of stock index futures is greater than the influence of stock index futures onthe stock market volatility.Finally, this paper has studied volatility changes of stock index futures market andstock market under the different events impact by GARCH models using Eiews6.0software. The study found that The Guangda event increased the volatility of the stockmarket and decreased the volatility of stock index futures market. Shanghai Free TradeZone decreased the volatility of the stock market and increased the volatility of stock indexfutures market.Opening of the "two sessions" decreased the both volatility. The volatilityof two markets are uncertain at the delivery day of stock index futures. A new round of IPOrestart decreased the both volatility.