| China’s stock index futures market has running for five years since the CSI 300 stock index futures traded on April 16,2010. Both the investors and regulators are concerned whether the futures’ trading played a good role in stabilizing the stock market or increased the spot price volatility. Volatility of the stock market directly affects the risk and return of investment portfolios. And also, the research on this function of stock index futures will help regulators develop the market policies and assess the launching of other financial derivatives. Above all, this study is of practical significance.There are five chapters in this paper. Chapter one mainly introduces the research background and significance, research contents and methods, as well as the structural of the paper. Chapter two makes a review of relative literature. Chapter three is an overview of the develop of China’s stock index futures market, which contains characteristics and functions of stock index futures, the development process and the current situation of the futures market, the stock index futures products and other aspects. Chapter four studies the impact of stock index futures’ trading on volatility of stock index spot market based on event effect and the linkage relationship between the two markets. Chapter five summarizes the conclusions of the study and puts forward some relevant suggestions.This paper uses the event study method to research the impact of stock index futures’launching on the fluctuation of spot market. And build VECM model and MGARCH-BEKK model to research the linkage relationship between the stock index future and spot markets.The empirical analysis indicates that:(1) After the introduction of stock index futures, the price of the CSI 300 index intraday volatility decreased, and the volatility of return has declined by 35.08%. The effect of GARCH of stock index return became smaller. The impact of new information on the spot market weakened while the old information on the market slightly increased. Two together, the efficiency of information transmission in stock market is improved. However, these changes were not significantly caused by the introduction of stock index futures trading.(2) There is a long-term equilibrium relationship between stock index futures and stock index spot prices. When the prices deviate from the equilibrium state, the error correction term will reversely adjust stock index futures price, while positively adjust stock index spot price. Mean spillover effect and Granger causality exist in these two markets, and the spillover effect of futures market’s return volatility to the spot market is stronger.(3) There is a two-way volatility spillover relationship between stock index futures and spot markets, and the volatility spillover is asymmetric. The volatility of stock index futures will aggravate the volatility of the spot market in the short term, and also has some continuity. |
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