CSI 500 Stock Index Futures Launched On The Spot Market Volatility Impact Analysis

The research of stock index futures on the spot market volatility has been controversial in the relevant financial documents.In April 16,2015,the CSI 500 stock index futures,this is the first time in the small cap stocks as the underlying index of stock index futures.In this paper,we investigate the impact of the introduction of CSI 500 stock index futures on the volatility of its underlying index price,and provide suggestions for further development.This article first makes a literature review on the related research of stock index futures on stock market volatility influence at home and abroad,compared the results,all kinds of research mainly analyzes the existing research methods and the advantages and disadvantages of various methods.The cross market correlation between stock index futures market and spot market based on the Hsiao(2011)panel data policy evaluation method[1]method to construct the counterfactual spot stock market,namely the use of CSI 500 stock index and the correlation index and other macroeconomic variables,predict if no spot market volatility of stock index futures listed on the listed month after the time rate,by value,make a comparison of the actual value and the forecast.Through the empirical study,we found that the 500 stock index futures trading significantly reduced the volatility of the stock market.In the counterfactual analysis effect,the forecast value and the actual value of 20 month sample showed that 12 months of stock index futures in the underlying stock index volatility,indicates that China's first small cap stocks for the underlying stock index futures volatility to achieve its function.At the same time,we carry out the robustness test in the empirical part,using the principal component analysis and the GARCH model,which is consistent with the empirical analysis.The conclusions are summarized and the corresponding policy recommendations are given.