The Impact Of Stock Index Futures On The Volatility Of The Stock Market

Stock index futures has been more than thirty years of history since its birth,the speed of development is very fast and it has become one of the most important financial derivatives in the world.Stock index futures provides a tool which can effectively avoid systemic risk of unpredictably market change for investors.Meantime,the stock index futures is a double-edged sword,if not in a stable operation,effective regulation of the market,it will not be able to play the most important role,and even has a bad influence to the market.Since its introduction in 2010,after five years of rapid development,has begun to take shape.But in the 15 year of the crash,the stock index futures was once considered to aggravate the abnormal market.The management in order to suppress the abnormal market fluctuations,forced to take the strict regulation of the new deal on the stock index futures,stock index futures "name".Whether the stock index futures aggravate the volatility of the stock market has become the focus of debate.In this paper,a large number of relevant literature on the basis of the study,On the impact of stock index futures on the volatility of the stock market,this paper first introduces the theory of the price relationship between the two,focusing on the analysis of the holding of the pricing model.And from the effect of stock index futures on the volatility of volatility spillover effects,such as arbitrage effect,positive feedback effect,crowding out effect and so on were analyzed.The specific impact needs to consider the above effect brought together.Then,in the empirical analysis,we use the ARMA-GARCH model and two kinds of deformation of the GARCH model to analyze the 2442 closing price data of the Shanghai and Shenzhen 300 index from April 16,2010 to April 19,2015 in the 29 day.On the one hand,adding a dummy variable in the GARCH model to express the stock index futures.Through the positive and negative coefficients and the size of the stock index futures to determine the specific impact on the volatility of the stock market.On the other hand,using EGARCH model to observe the impact of bad news on the volatility of the stock market is symmetrical,and compare the introduction of stock index futures on the impact of this asymmetry is significant change.Through empirical analysis,the conclusions of this paper are as follows: the introduction of stock index futures has played a certain role in general.To a certain extent,it reduces the volatility of the stock market,and weakens the asymmetric reaction of the stock market to the bad news.But from the point of view of the impact of these two effects are still very small.This may have a certain relationship with China's unique market system and environment.The full development of its function needs the further development of China's securities market.Finally,the paper puts forward some relevant policy recommendations.