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

In 1982,the US Stock Exchange launched the world's first stock index futures contract.Since then,the stock index futures developed rapidly and many countries have launched their owns.The stock index futures are considered to be the basic tool to avoid risks and stabilize the stock market.However,in the past 30 years when the stock index futures developed,the debate over whether it is conducive to stabilize the stock market has not stopped.Since the global financial crisis in 2008,our country launched our own stock index futures on April 16,2010 which increased the "short mechanism" of the stock market.However the launch of stock index futures did not meet expectations.In the three months after the launch,the stock market plunged which seems to confirm that the stock index futures increase the volatility of the stock market.Therefore,by analyzing the changes of the stock market's data five years before and after the introduction of stock market futures,this paper hopes to provide some relevant evidences on the point whether the stock index futures can stabilize the stock market volatility and to provide theoretical and empirical support for the development of stock market in China.This paper explores the impact of stock index futures on stock market volatility from three perspectives.First of all,this paper selects the Shanghai and Shenzhen 300 Index constituent stocks as the basis for studying the effect of Sheep Flock.The effect of stock index futures on herding behavior in stock market is analyzed by establishing the herd behavior model.Secondly,the short-term impact of stock index futures on the stock market is studied by Granger causality test and impulse response analysis of the closing price of Shanghai Composite Index and the closing price of Shanghai and Shenzhen 300 Index from January 4,2005 to December 31,2015.And then use the cointegration test and error correction model to analyze the long-term impact of stock index futures on the stock market and short-term adjustment.Finally,based on the Shanghai index's rate of return,the GARCH model and TARCH model are introduced to analyze the asymmetric influence on the stock market after the introduction of the stock index futures.The results show that: the introduction of stock index futures has inhibited the volatility of the stock market,especially during the "bull market".In the short term,stock index futures have a weak negative impact on the stock market and the duration is short.So there is no direct causal relationship between the introduction of stock index futures with the short-term stock market sharply diving.In the long run,stock index futures have the function of price discovery,which can guide investors to make the reasonable expectations of stock market price,helping to promote the stable development of the stock market.The stock index futures can weaken the asymmetry of the stock market.At the same time,the stock market's reacting on the "good news" and "bad news" declined significantly.So the stock index futures played a certain role on stabilizing the stock market.Based on the theory and empirical research,this paper argues that the role of stock index futures can be exerted vigorously in the following aspects: strengthening publicity and education,improving the professional quality of investors;optimizing capital structure,increasing the proportion of institutional investors;strengthening stock market supervision and promoting stock market regulation;riching futures varieties,to promote the prosperity of the capital market.