Empirical Research On The Influence Of Stock Index Futures On Volatility Of Stock Market In China

At April 16 2010,China Financial Futures Exchange officially launched the first stock index futures contracts in China's securities market-CSI 300 stock index futures contract,as a kind of financial derivative products with hedging function,which caused widespread concern of the investorsThe mainly reasons for the introduction of stock index futures trading in China,:On the one hand,it reflects the value of the securities market in other mature capital markets.The world's first stock index futures contract,Line index futures contracts,was officially launched at the Kansas futures exchange on February 24 in 1982,which function of avoiding investment risk was welcomed by the market,and lead to the rapid emergence of stock index futures in the world,whichwas worthy to be referencedby China's securities market.On the other hand,it's the necessary market changes since China's securities market has experienced more than 20 years of development.Although stock index futures have the function ofavoiding investmentrisk in a certain extent,but from the actual operation of view after our country stock market launched stock index futures,which has a certain influence on the volatility of Chinese stock market.Then,the introduction of stock index futures is to increase the volatility of the stock market,or play a role in mitigation? Scholars of various countries have carried out extensive empirical research on this issue.Judging from the existing empirical literature,the three conclusions of the stock index futures increase the volatility of the stock market,reduce the volatility of the stock market or no affect,are existence.Therefore,for Chinese market,the introduction of stock index futures will produce what kind of effect,we need to empirical test through relevant data.In this case,this paper takes CSI 300 stock index as the research object,through the introduction of stock index futures and the detection principle of market volatility,explains the internal relations between stock index futures and spot market.The empirical study selects the daily closing price of the CSI 300 stock index from April 8,2005 to June 12,2015 and CSI 300 stock index futures from April 16,2010 to June 12,2015 as the sample data.Due to the volatility of the stock market volatility and risk characteristics is reflected by the rate of return,so we can take the closing price of the day for the logarithmic differential treatment,to get the returnseries on the stock price index,and to conduct empirical research.First of all,we are testing the stabilityof the data sequence is selected,and then select the GARCH model for processing sequence,and through to verify the conclusion of the GARCH model by the TARCH model.By comparing the size of the coefficient of the volatility to get the actual impact of China's stock index futures on the stock market.Based on the above empirical research,this paper draws a conclusion: the launch of China's CSI 300 stock index futures can reduce the volatility of the stock market,but the impact is relatively small,the reaction of stock market fluctuations mainly due to its absorption of environmental information.