Study On The Impact Of Shanghai And Shenzhen300Stock Index Futures To The China’s Stock Market

With the rapid development of China’s capital market, We need to develop the stock index futures and other financial futures market to perfect the market structure, rich variety of transactions, so that investors can better the best risk control. China has launched its own stock index futures, the Shanghai and Shenzhen300stock index futures in April16,2010to perfect the mechanism of securities market risk management and make up the lack of financial innovation, which indicates that China has formally entered into the bilateral market with the possibility of both buying and selling stocks. Stock index futures as a financial derivative tool, its birth are due to the people on the management of stock market risk requirements. But since the characteristics of high lever and high risk, stock index futures also let people have a lot of questions about it.Then, how much impact does the Shanghai and Shenzhen300stock index futures have on China’s stock market? What’s the volatility of stock spot market under the impact of the Shanghai and Shenzhen300stock index futures? Is the stock spot market volatility reduced or exacerbated by the Shanghai and Shenzhen300stock index futures? At present, it’s important to figure out the deficiencies and shortcomings in China’s futures and spot markets and help the government supervision departments to adjust their function with the introduction of stock index futures. These will be the focus and research direction of this paper.This paper uses econometric software Eviews6.0, which can make the empirical and systematical analysis of the influence of stock index futures on the spot market, and can compare the deficiencies and shortcomings between China’s futures and spot markets with calculation and analysis of regression, and can provide policy suggestions to government supervision departments on securities market. The main work can be summarized as follows: 1. The paper introduces the related concepts and the development of stock index futures, systematically analyzes the development process and related concepts of China’s Shanghai and Shenzhen300stock index futures.2. The paper makes the empirical and systematical research of the influence of the Shanghai and Shenzhen300stock index futures on the spot market. The research based on the figures from June21,2006to February24,2014from Shanghai and Shenzhen300index data sheet, by introducing dummy variables, analyzes the stock market index returns with the impact of the Shanghai and Shenzhen300stock index futures using GARCH model. Then we make the conclusion that the launching of the Shanghai and Shenzhen300stock index futures reduces the fluctuations in the stock market price index to a certain extent, to stabilize the stock market, but the effect is limited.3. Through the analysis of the present stage of China’s futures market system, the scale of development problems and defects, We put forward some policy suggestions to government regulatory agencies, including the perfect stock market mechanism, improving the environment of the coordinated development of stock index futures market and spot market. The paper consists of five chapters. The first part introduces the research background, research significance and innovation. The second part introduces the development of all countries in the world of stock index futures, the functionality of stock index futures and the listing process of Shanghai and Shenzhen300stock index futures in China. The third part mainly analyzes the stock market index returns with the impact of the Shanghai and Shenzhen300stock index futures through collecting in the latest data of Shanghai and Shenzhen300stock index, using the GARCH model. On the basis of the experimental results, We conclude the main argument in this paper.The fourth part mainly analyzes the deficiencies in China’s stock market and spot market, the paper puts forward policy recommendations on supervision department.The last part is the summary of the paper, and discuss the further research I needed and attention points in the future.