| In February twenty-fourth, the first contract in history regarding stock market index future took effect in Kansas City Board of Trade (KCBT) hence initiated a new chapter of stock index future business.As a new derivative,stock market index future’s birth exert important influence to financial market ever after.Nowadays, stock market index future business is vibrating thus taking an important part of international derivative market activities.People have always been questioning and discussing the influence of how fluctuation in stock market index future effect spot market.The subject regarding foreign market has been thoroughly discussed by scholars from all over the world, yet Chinese market has not been studied very much.China initiated capitali zation-weighted stock market index(CSI 300 Index) future only four years ago, thus there is very little research on how its influence on spot market.As a result, studying this topic is important for the healthy development of Chinese financial market.This paper aims at giving realistic suggestions to aforesaid topic by combing and studying theory and model all together.In the theory part, the paper first introduced the definition, pricing and basic functions of stock index future. This is categorized as internal variables.Then all other variables other than function are categorized as external variables. The paper analyzed how external variables influence stock market.This paper points out in the end that neither internal nor external variable can exert influence to stock market alone. In model part, the paper first made an descriptive analysis, then launched analysis employing GARCH model. The result is that CSI 300 Index future minimized the fluctuation of stock market to some degree. The paper also took informational asymmetry into consideration, and used EGARCH model to test. The result is that Chinese stock maker does have a significant informational asymmetry effect. |
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