Research Of Stock Index Futures Influence’ On The Volatility Of Spot Market

Stock index futures is a kind of financial derivatives. It can provide function of price discovery and hedging method for stock investment. ShangHai and ShenZhen 300 index futures starts running in 2010.4.16. Introduce stock index futures to domestic market is of great significance to financial development. In 2015.4.16, ShangZheng 50 stock index futures and ZhongZheng 500 stock index futures is added to the market.From July in 2014, A stock market has experienced a rising stage, ShangHai stock index reach point of 5000, ShenZhen stock index reach point of 18000.However, from middle Juln of 2015, ShangHai stock index decreased 30% and ShenZhen stock index decreased 45% in 20 days. It is a stock disaster in the recent 20 years.People think this stock disaster is resulted by stock index futures. This paper uses econometric model and case analysis method to make a research of stock index futures’ influence on spot market.This paper is divided into six parts. The first part is introduction, describing the background and significance, research structure and methodology, innovations and shortages. The second part is literature review. The third part is the theory of stock index futures and volatility, including a brief introduction of stock index futures and its characteristics and significance. The fourth part is the empirical analysis about influence of stock index futures on stock market volatility. The paper firstly checks efficiency of return series from different trade frequency through many methods. Compared with normal-distribution, the empirical distribution has peak and fat tail. This is confirmed by skewness and kurtosis statistics. Q-Q plots also indicate obvious deviation between empirical distribution and theoretical normal-distribution. These check work consistently tells that time series is not random. Before next analysis, the paper carries on unit root test through ADF method and eliminates correlation of series through AR model. The fifth part is an case analysis of this round of stock decrease. The sixth part is conclusions and suggestions.Research results of this paper indicate that:in the first、third and fifth years of stock index futures running, stock market is effected consistently. The volatility of stock market is decreased, but the influence is small. Stock index futures make "leverage effect", which is bad news has larger effect on stock market than good news. This paper suggests that stock index futures should be developed.