| On April 16, 2010, China’s first financial futures varieties, the CSI 300 index futures traded in China. It is with the purpose of provide more way of asset allocation at a steady market. However academia on this problem has always been controversial. There are three kinds of mainstream viewpoint: The first kind of view is it has increased the investment risk of A-share market; the second kind of view is launch of index futures have a little influence on the investment risk of A-share market. Therefore, how launch of index futures affects the investment risk of A-share market, and what is the impact mechanism are worth an ongoing discussion.This paper focuses on how launch of the CSI 300 index futures affects the investment risk of A-share market, and its impact mechanism, and through the establishment of GARCH model to do empirical research, giving corresponding suggestion. The article is divided into 4 sections: the first part is the research basis, including chapter 1(General Introduction) and chapter 2(Concept Definition and Theoretical Reference); the second part is present situation and the mechanism, including chapter 3(The Present Situation of A-share Market) and chapter 4(The Mechanism of The Effect of Chinese Stock Index Future On Investment Risk Of A-share Market); the third part is the empirical research, by establishing GARCH model to analysis the effect of the stock index futures on A-share market investment risk and the influence of its asymmetry effect.This paper’s conclusions are as follows. First of all, by using GARCH model to analyze the overall interval, and join the virtual variable D, we find that the influence to large-cap(represented by the CSI 300 index) and small-cap(represented by the CSI 500 index) is weak and not significant. Second, by using GARCH model to analyze the whole interval and two sub interval, the influence on the overall market level has a slight decline in the degree of persistence after the launch, the influence of new information on the stock market decline, while the influence of the old information on the spot market have increased slightly, indicating that the information transfer efficiency has not been improved. Third, by using the TGARCH and EGARCH model analysis, it is found that the asymmetric effect of stocks disappeared.This paper advice as follow:(1) to promote the development of stock index futures, and to play its positive role. Through the diversification of stock index futures, helping the trade of speculation, arbitrage and hedging transactions to be carried out normally.(2) Improve the regulations. To Form a linkage supervision system, in order to safeguard the healthy development of the futures market and the spot market.(3) To strengthen the supervision. To curb the risk from the source, and keep regular or irregular spot checks, corrected the error immediately.(4) To strengthen investor education, foster market participants. Should investors do risk assessment, careful observation of their suitability in stock index futures market. Investors should also improve the knowledge system, establish a sense of risk, for the unqualified market participants, it should make the decision to reject their participation.(5) Perfect the rules of the spot market, and form a positive interaction. Need to improve company rules, market rules and laws and regulations in the spot market for further. |
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