| The founding of the stock index futures market provides a new type of tradingmechanism. This new trading mechanism has a profound impact on asset managementand the operation of the stock markets. The volatility of China stock market is sosevere that investors urgently need financial instrument to effectively avoid risks andpreserve their property,which is the reason that HS300index futures came into being.HS300index futures has a good representation of the market and anti-manipulationfor it covers about60%of the market value of the Shanghai and Shenzhen stockmarkets. HS300index futures is given widespread concern specially how it affects thestock market’s volatility.This paper first analyzes the mechanism of the influence of stock index futures onthe stock market volatility, then using measuring measure accurately analyzes theinfluence degree. In theory, this article ries to find out the mechanisms fromInternal influence mechanism and External influences mechanisms,including thefunction of index futures,the transaction rules, Investment behavior and so on. Onempirical research, we adopt mature GARCH model. The HS300stock index futureshas more than four years, so we can get enough samples to study the problems proposedin this paper. This paper selected the date of HS300index daily closing price on January4th,2007to May30th,2014. On the analysis, this paper aims to answer three questions:the influence of the size of the stock index futures on the stock market volatility, stockindex futures on the stock market volatility information transmission efficiency, theinfluence of stock index futures on the stock market fluctuation effect of leverage,byempirical means, the most significant is the first one. Specific, we adopt a virtualvariables GARCH model and EGARCH model to study the size of the stock indexfutures on the stock market volatility. Virtual variable correlation coefficient of the sizeof the response of stock index futures market size, the function of the spot marketvolatility virtual variable correlation coefficient of positive and negative reaction to thedirection of stock index futures market to spot market fluctuations. Comparing theGARCH models of stock index futures introduced before and after to analyze the stockindex futures on the spot market information transmission efficiency. Comparing theEGARCH models of stock index futures introduced before and after to analyze theimpact of stock index futures on the stock market volatility leverage. Finally, we draw the conclusion: Launching of stock index futures will help reduce the volatility of thestock market, but limited; Does not speed up the launch of stock index futures marketinformation transmission efficiency; Launching of stock index futures reduced thevolatility of leverage. Than in the past research literature, this paper study on the impactof stock index futures on the stock market volatility more comprehensive and morespecific, and emphatically analyzes the stock index futures on the stock marketvolatility the influence of leverage. This is special in this paper. |
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