Study On The Impact Of CSI300 Stock Index Futures On Spot Market Volatility

The emergence of stock index futures is the result of the continuous development of capital market and the investors?need of avoiding the volatility of the capital market,and maintaining and increasing the value of assets.Stock index futures market provides risk management tools for investors.At the same time,it changes the stock market "unilateral market" state.Since listing,stock index futures has grown into the most active,the highest volume of financial futures,has important significance of preventing financial risks,improving the capital market system.HS300 stock index futures listing marks the official birth of stock index futures in China.Stock index futures in the early stage of the market,there will be a sharp correction of the situation,which led to the Chinese scholars' debate on the impact of stock index futures on the development of China's securities market.But with the maturity of the capital market investors,the continuous development of capital market,the stock index futures market and stock index futures market are more closely linked,the activity of market trading increases.IH50 stock index futures and IC500 stock index futures launched in April 2015,which means that China has entered the fast lane.However,stock market crash from 2015 to 2016 pushes the question of influence of the stock index futures on stock market volatility to another clime in the academic circles.In this paper,by choosing HS300 index closing price from Jan.2,2008 to Dec.31,2016 and HS300 stock index futures closing price from April 16,2010 to Dec.31,2016 as the sample,it studys that the short-term and long-term effects of stock index futures on the volatility of the stock market.In this paper,the establishment of GARCH(1,1)model fitts on daily yield of stock index futures market before and after two years in HS300 index,to study the effect of short-term volatility;the cointegration test,Granger causality test,impulse response analysis and variance analysis are used to analyze the effect of long-term volatility.The results of the study showed that HS300 stock index futures take a good effect on the stock market volatility in the short term,but the degree of decreasing effect is smaller.In the long term,effects of HS 300 stock index futures listed on the stock market volatility is not obvious,and the explanation is not strong.Besides combined problems reflected in 2015 China's stock market crash,we analyze the existing problems of capital market in our country and put forward the corresponding policy recommendations.