The Impact Of The Introduction Of New Stock Index Futures On The Stock Market Volatility

Since the first introduction of the Shanghai and Shenzhen 300 stock index futures in the domestic market on April 16,2010,China's stock index futures market has been developing for six years.In the six years of development and exploration,the stock index futures are gradually being familiar to investors,and its trading volume continues to expand,which marks the formal establishment of equity futures market.In such a short period,we achieve great success,but we should note that China's stock index futures market is still in various aspects of the problem.Compared with foreign mature market development for several decades,we still have a lot of distance.Therefore,we need to continue to explore,develop and research our capital market in our own way.On April 16,2015,the domestic equity futures market has introduced the CSI 500 and SSE 50 index futures contracts.Over the past year,the impact of two new index futures contracts has been highly concerned,especially the impact of the stock market volatility.In this paper,we mainly study the influence of the introduction of the 500 stock index futures on the volatility of the spot market.First of all,this paper makes a reference to a large number of previous researches on this type of problem,and concludes the results of them.It's the foundation for the following research.Then,the basic knowledge and current situation of the development of stock index futures is introduced,including the concept,function,as well as the domestic and foreign stock index futures market development.Then,this paper uses the impulse response analysis,GARCH model and co-integration analysis to research the impact of the stock market volatility.We use the spot and futures index daily return data from January 15,2007 to April 20,2016.In the empirical process,the stock market is divided into the Shanghai market and Shenzhen market,in order to comparative analysis.Results show:(1)The CSI 500 stock index futures launch,exacerbate short-term volatility in the stock market,in addition to the smaller impact of Shanghai market volatility,the volatility of Shenzhen stock market and the corresponding index of the underlying stocks increased significantly.(2)Co-integration analysis shows that the long-term stable co-integration exists between CSI 500 futures and Shanghai Composite Index,Shenzhen Component Index and the CSI 500 index,and the co-integration analysis function corresponding coefficients are negative,the absolute value is less than 1.It indicates that after the introduction of the CSI 500 stock index futures,there is a significant suppression of the volatility of the market index in the long term.(3)Through horizontal comparison in the same period,the introduction of the CSI 500 stock index futures has the minimum effect on the volatility of Shanghai stock market,which is not statistically significant.While the volatility of CSI 500 index increases most obviously,the volatility of Shenzhen stock index is somewhere in between.Finally,based on the above conclusions,by comparing the relevant literature on the mature market research results,this paper give possible explanations of the different conclusions,and provide corresponding suggestions.Hoping to provide some help to the development of China's capital market...