Study On The Influence Of Stock Index Futures On The Stock Market Fluctuations

At present,China is facing the deepening of financial reforms;one is the variety of stock index futures.After the CSI 300 Index Futures launched in 2010,SSE 50 Futures Futures and CSI 500 Index Futures simultaneously launched on April 16,2015,which not only enriches the futures varieties,provides more possibilities for futures market with the variety of combinations,but also enhances the linkage between futures market and the spot market,and at the same time,is of great significance for strengthening the depth of financial market and promoting the opening of capital markets.However,in less than 3 months after the SSE 50 stock index futures and CSI 500 stock index futures launched,the spot market in China faced 1800 points oversolding in four weeks.Will stock index futures be able to play the "shock Device " role for stock market? This paper aims to explore whether the stock index futures can slow the spot market volatility,and whether this effect is related to the launch time length and company size.Based on the 5-miniutes closing data of SSE 50 and CSI 500 in three years,three different samples is divided to find out the respectively influence that whether and how the index futures affect.Based on the day closing data of CSI 300 in a decade,five different samples divided to find out the respectively influence that whether and how the index futures affect in short-term and long-term.The result shows that the introduction of stock index futures do curb the stock spot market fluctuations in China,and this inhibition will be strengthened over time.Stock index futures would make different impact on companies which varieties by different sizes;According to the empirical results by the test of CSI 500 Index,small cap stocks are more susceptible by index futures,resulting in increased volatility.In the aspect of information transmission,the persistence of volatility diminishes after the introduction of stock index futures,and the the spread of information slows down,which means weakening of the impact of information on the fluctuation;the small and medium-sized stocks is facing much deeper slowndown in the transmission speed.In the end,according to the results of empirical analysis,this paper proposes policy recommendations such as establishing cross-market information exchange mechanism and so on.