An Empirical Analysis Of The CSI300Index Futures On The Shanghai Stock Market

The stock index futures has two functions:risk management and price discovery, it improved the stock market system as a risk management tool, and can also predict the trend of the stock market. China’s stock index futures officially listed has been three years, what kind of impact on the stock market since the operation of the stock index futures actually, this paper aimed on the point for analysis.In this paper, an empirical analysis of the CSI300index futures officially listed on the Shanghai stock market, make the Shanghai Composite Index as the representative of the stock market, use the data analysis software S AS to study from three aspects, short and long term relationship, causality, and interaction. There is a long-run equilibrium relationship between the CSI300index futures and the Shanghai Composite Index through cointegration test. On Granger causality test, the CSI300index futures is the Granger reason of the Shanghai Composite Index, the Shanghai Composite Index is not the Granger reason of the CSI300index futures. Finally, establish a VAR model, through impulse response function and variance decomposition analysis, the CSI300index futures is important on the the Shanghai Composite index fluctuations in the contribution rate. Finally, make the conclusion that the CSI300stock index futures reducing the Shanghai stock market’s volatility after officially listed.