| Stock index futures is an important development of capital market. Compared with others futures, stock index futures is playing an increasing important role in the world economy today. In recent years, the global economy and stock market are both in the volatility. As to evade the risk of financial derivatives, the importance of stock index futures is increasingly prominent. On April 16,2010, the csi 300 stock index futures launched officially in China and it ended the short of the market of China’s unilateral trade mode, which is of epoch-making significance. On the one hand, stock index futures can avoid the stock market systemic risk and provide hedged channels for the market participants, to reduce the volatility of the market.On the other hand, it can increase the risk of the investors and the volatility of the stock market because of the leverage effect of futures itself. For a long time, stock index futures is widely favored by the majority of investors for its price discovery and hedging functions. The launch of stock index futures is to realize the purpose of effective risk management, play the price discovery function and made some stock market pricing power in China. With the development of the csi 300 stock index futures market in China, academic focus on the relationship of the volatility between the stock index futures market and the spot market. Some scholars believe that there are a large number of speculators in the emerging of stock index futures market, who increase the price volatility of the stock market. Others said the stock index futures can reduce the volatility of the stock market through own hedging, arbitrage and other functions to stable the stock market. Whether the csi 300 stock index futures market has produced the desired effect for our country stock market? What is the kind of impact on the spot market volatility for the csi 300 stock index futures market? The Luther will put forward some policies after researching on the results of the study.The full paper has four chapters. The first chapter mainly introduces the background of the selected topic and the summary of the domestic and foreign research results. It also points out the possible innovation and the insufficient points of the paper. The second chapter mainly discusses the basis of the theory and the practice of the volatility of stock index futures market and cash market research of empirical research. It analyzes the transmission mechanism of the volatility of stock index futures on the spot market and defines the measurement of the volatility of stock index futures market and spot market, which built the foundation for the empirical analysis for the rest of the article. The third chapter mainly introduces the analysis of the volatility of the introduction of stock index futures on stock spot market in China, which presents the selection of the sample data and the model. It will do empirical test process by stationery test, the correlation test, congratulation test, the model of GARCH and EGARCH. In the end of this chapter, we give the analysis and summary of the empirical conclusions. We Will put forward some policy suggestions from the perspective of government regulators and the institutional investors in the fourth chapter.We research on the volatility of the introduction of stock index future market reflecting on stock cash market based on the analysis and absorbing the predecessors’ research, using the time series, the econometric model and E views software. It combined with the practical operation of the capital market in our country. We try make every effort to have good research results. Due to the particularity of the stock market volatility in 2015,the article will divide the data we use into three parts.The first part is the data before the csi 300 pushing out.The second part is the data after csi 300 pushing out.The third part is the data in 2015.Through the first two parts data to establish the suitable model to analysis the spot market volatility before and after the stock index futures introduced.The third part will introduces the role the csi 300 stock index futures will play in 2015:increase or reduce the spot market volatility? We will select suitable model to review the above three conditions.Through the empirical analysis of the stock index futures market and stock spot market, we find that the volatility levels of stock spot market decreased and stock cash market is more stable after csi 300 index futures pushing out in our country.However, the csi 300 index futures increased the volatility of the spot market.Compared with the "good news" on the market, we find that "bad news" may bring greater impact on stock spot market under the condition of the same amount of information. According to the conclusion of this article,the author put forward some advice to perfect stock index futures market and spot market. We should increase the cost of shorting the futures market to restrain investors, which will stabilize financial markets effectively. We can mobilizat funds,such as csi and social security funds into the stock market to ensure ample liquidity in the financial markets. We can perfect the system construction to reduce the arbitrage between the two markets,which can reduce the instability. We should rich stock index future market products to make investors have more choices.We should strengthen the quality education of the investors and improve the investment structure.We should develop institutional investors and strengthen the internal risk control of institutional investors. |
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