Research On The Relationship Between Stock Index Futures And Stock Market Volatility In China

In April 16,2010,our country finally introduce the stock index futures-CSI 300 stock index futures.Because China's stock market has experienced substantial fluctuations when the CSI 300 stock index futures just launched in 2010,and China's stock market has just experienced severe shocks in 2015,there is a view that the stock index futures is a cause of the volatility in the stock market.Under this background,this article analyzed the theory and the empirical of the relationship of the CSI 300 stock index futures and volatility of the stock market.Based on the related literature at home and abroad to sort out the relationship between the stock index futures and stock market volatility on the present situation of China's stock index futures and stock market analysis.By using cointegration test,Granger causality test,error correction model,this paper researched the relationship between China's stock index futures and stock spot price empirically the inspection,by using the EGARCH model,to further measure the effect of China's stock index futures on stock market volatility.The research shows that there is a long-term equilibrium relationship between stock index futures and spot price of our country stock index futures has the price discovery and the guiding role of the stock market,the stock index futures to reduce the volatility of the stock market,including: stock index futures improve the stock market information transmission speed,reduce the asymmetric effect of stock market.Reduce the persistence of information influence on the volatility of the stock market.The strict regulation of stock index futures has increased the volatility of the stock market.According to the results of empirical analysis,this article put forward suggestions: on the supervision of market,improve the financial futures market regulatory system,strengthen information exchange regulators of stock index futures,and improve the efficiency of supervision;on the market,improve the market mechanism,improve the structure of investors,strengthen industry self-discipline construction.