Empirical Research Of The Stock Index Futures’ Influence In China On The Volatility Of Relevant Market

Stock index futures is a kind of derivative financial tools which are widely used, based on stock index as the fundamental target assets. After the United States launched the first index futures in 1982, there are many countries and regions in the world have launched stock index futures. On April 16, 2010, China Financial Futures Exchange officially launched CSI 300 stock index futures as the first stock index futures in China, which caused the attention of academic and industry. It was a big event in China’s financial history, which meant our country had its own risk management tools, and it would make the capital market system better, and it would improve the market’s efficiency.After The CSI 300 stock index futures launched, Scholars studied from trading system, operation function and transmission. With the increasing demand for the difference of the financial market risk management, the stock index futures expanded. On April 16, 2015, Shanghai50 and CSI500 stock index futures contracts traded formally, aimed to make up the stock index futures varieties, and met the demand of risk management diversification. As newly launched stock index futures, there were not too much research. In June 2015,stock market crashed, which made people feel threatened to derivatives, thought that the existence of stock index futures led to a decline in the stock market. The article was written to introduce Shanghai50 and CSI500 stock index futures’ effects on the spot market volatility, and analysised the influence of the new launch of stock index futures on the volatility of the spot. Before empirical analysis, theoretical analysis was made first to verify this theory, to some extent, explained the influence of stock index futures on the spot market path.By establishing a GARCH model, and joining the virtual variable in the variance equation, we could study the stock index futures after the impact on the spot market volatility. The empirical research shows that: the Shanghai50,CSI500,and CSI300 index futures increased spot market’s volatility of the underlying index, but the introduction of virtual variable parameter value is small, and the effect is not significant. As regulators, they’re not needed to concern futures market, and don’t have to limit the developments of the futures market. On the contrary, futures make it necessary for the market, and investors should be encouraged to use futures hedge the risk of the stock market.