A Study On The Impact Of Stock Index Futures On Stock Index Volatility

China released the first stock index futures that the Shanghai and Shenzhen 300 stock index futures in April 16,2010,however,after the sharp fluctuations in the stock market prices in 2015,the CICC start the implementation of restrictive measures for the futures trading,the relevant securities media and practitioners interpreted the measures as the CICC in order to stabilize the stock index sharp decline in the stock market to implement,which makes the problem of "stock index futures will reduce the volatility of stock prices" once again become a hot discussed problem.So far,China's scholars mainly study China's stock market's changes before and after stock index futures appeared.In this paper,based on the current CICC stock index futures trading restrictive measures continue to implement,author test the effect of the CICC policy for studying the impact of stock index futures on the stock index fluctuations,theoretically better understand the role of stock index futures.In this paper,author use the CSI 300 stock index futures and Shanghai and Shenzhen 300 stock index daily closing price data as the research object,using the Shanghai and Shenzhen 300 stock index futures launch point and the CICC began to limit the stock index futures trading time point as a separation point.This paper use GARCH model to study the volatility of the stock index market changes before and after the stock index futures appeared,and to study the volatility of the stock index market changes before and after the implementation of the stock index futures trading policy.This paper draws the view that the introduction of stock index futures can reduce the volatility of the stock index within the limited effect.The consequences of the measures imposed by the CICC to restrict the stock index futures trading can not reduce the volatility of the stock index,which proves the stock index futures can stabilize the volatility of the stock index.In this paper,the author puts forward some suggestions for the improvement of the stock index futures market in China.