An Empirical Study On The Relationship Between Shanghai And Shenzhen 300 Index Futures And Spot

Since October 16th 2010, Hushen 300 stock index future contract has been listed in Future Exchange. They provide Chinese investors with a risk management tool which can transfer risk and earn profit. The introduction of Hushen 300 futures is thought to be a profound symbol of Chinese financial development.However, China Stock Market is still in a slump as the 2008’s financial crisis has been passed for 5 years. Certain amount of investors and scholar believe that the introduction of Hushen 300 should be responsible for the timeless decline of stock market. Therefore, the study on the volatility impact of stock index futures on the stock market is significant in China.This essay can be divided into 5 sections. Section 1 is introduction. Sections 2 is mainly to introduce the background knowledge of futures. Section 3 addressed the empirical test of the change in volatility of Hushen 300 stock market. Through a lot of empirical research and theoretical analysis, to my way of thinking, the launching of stock index futures does really alleviate the volatility of Hushen 300 stock market. Section 4 presents the empirical test of the interaction between of stock future and current market. The research findings show, on one hand, there exists Granger causality between stock index future prices and current prices. On the other hand Future market doesn’t always responses more quickly than stock market to the market informations.Sections 5 concludes the essay and offer some suggestions for the policymakers and futures products which will be launched in the near future, such as treasury bond futures.