Effect Of CSI 300 Index Futures On Volatility In Spot Market

Under the background of the economic turmoil, Stock index futures was created as a tool with the strong demand of people’s avoiding risks. However,the progress of index futures(IF) is not plain sailing, its function and positive effect is still controversial as a risk-management toolBy this year, the Shanghai and shenzhen 300(CSI300) stock index futures have developed for 6 years and they are gradually mature step by step. However, as similar as the foreign, people still have the doubt that the stability of the IF have negative effect on spot market, especially the year of 2010, in which period that the IF was listed and the year of 2015, in which period that the spot market crashed. Once the stock market falls, suspicion will be pointed at IF. Thus, the Shanghai and shenzhen stock index futures is considered to be turned into a malicious short tools. On Sep.2 of 2015,in order to coordinate the rescue, the most severe restrictions was launched by China Financial Futures Exchange(CFFEX), the volume of stock index futures declined rapidly and the market is almost a backwater. Is the stock index futures responsible for the turmoil? What kind of effect was caused by IF on the market? Should we limit the IF trading? In this paper, contrapose the problems, we will research the effect of IF on the latter.Firstly, in this paper we will conduct descriptive analysis combining with the transaction data and index:a descriptive analysis on the influencing mechanism and actual effect and the influence of the incident of implementing restrictions for stock index futures by CFFEX.Then we will conduct a modeling analysis of trade data in two important time node, in order to discuss the way of IF to change the yield of the index. The two time node is:before and after the detrusion of CSI300 index futures (2007.1.4 to 2010.4.15,2010.4.16 to 2015.9.2) and the implementing restrictions for stock index futures by CFFEX (2014.12.11 to 2015.9.2,2015.9.7 to 2016.6.1). We will carry comparative study on fluctuation of return rate before and after two time node in order to study from various angles.Before and after the detrusion of IF, firstly, we will conduct descriptive analysis, then take GARCH model with virtual variables, finally use EGARCH analysis to analyse. Before and after implementing restrictions for stock index futures by CFFEX, we mainly choose GARCH model with virtual variables as the analysis method.Through the study we find that:although stock index futures trading hasn’t significantly reduced the fluctuation of the stock market in China, but improved the transition asymmetry of Chinese stock market information and thus stabilized the stock market. After a crash, regulators of restrictive trade measures have not expected effect, however it destroyed the liquidity of stock index futures market, resulting in a damage of market basic function. Thus suggestions are proposed: firstly, to cancel the trading limit of stock index future as soon as possible and restore the normal function of the market; Secondly, to enhance the management ability and build a more targeted regulatory regime avoiding adverse effect. Finally, to lower threshold of stock index futures and speed up financial innovation, thus to provide more risk management tools and ease the pressure on the single market.