The Research About The Stock Index Futures On The Stock Market’s Volatility

China’s stock index futures have been preparing for more than ten years. As it is the first product in China’s financial exchange, the appearance of the HS300 stock index futures can be said to be an important milepost history of our financial market. It not only adds a new investment product and risk management tool for the investors, but also changes the unilateral trading situation of our country’s financial market, improves the structure of capital market, and creates a precedent for other financial derivatives. However, the short selling mechanism and margin trading system of the stock index future also increase the risk of the securities market. China’s stock index futures use the HS300 stock index as the subject, so there are lots of relevance between it and the stock index. Variations between stock index futures and spot market will even affect the operation of the financial market. So the research about the HS300 stock index futures market on the stock market’s volayility has important meanings.This paper first reviews the development of the global stock index futures and stock index futures in China, and analyses the conductin mechanism between the stock index futures and the spot market from the theoretical point of view. Then this paper chooses the short-term data (2009.04.16-2011.04.15) and the long-term data (2006.08.09-2013.12.31) to judge the influence on the HS300 stock index’s price when HS300 stock index futures was launched, which uses the GARCH model and EGARCH model with dummy variables.The empirical results show that:both in the short and long term,the launch of the HS300 has reduced volatility of the HS300 stock market’s price, but the degree of the influence is weak. Meanwhile, the long-term impact is greater than the short-term impact. In the long run, our country’s HS300 spot market has the asymmetric effect to the information’s shock. The impact of negative information is gearter than the impact of the positive one. Finally, according to the conclusion, this paper puts four suggestions for the further development of stock index futures market in China:1, to strengthen the regulation of stock index futures.2, to speed up the innovation of stock index futures products.3, to optimize the investor structure dynamics.4, to enhance investor’s education.