| China launched its first stock index future on April16,2010, this paper studies theimpact of share price index futures on the risk of spot market. Based on the HS300index daily return data, using variance, and ARCH models, this paper tries to present areal change on the nonsystematic risk and total risk before and after the introduction ofstock index futures. And then, VAR model is used to research the relationship betweenthe price of HS300index and index future. At last, the conclusion is that the launch ofthe HS300index future has reduced the total risk to a certain extent. The HS300indexfuture has a long-term cointegration relationship with the spot, and it has function of theprice discovery. |
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