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

Stock index futures,based on stock index as the fundamental target assets,is a kind of derivative financial tools.The birth of stock index futures had a profound impact on asset management and optimization as well as the healthy and stable operation of the stocks market.After the United States launched the first index futures in 1982,many countries have launched stock index futures.On April 16th,2010,CSI 300 stock index futures were launched,China began the beginning of stock index futures trading,and provided a powerful risk hedging instrument for the stocks market in our country.On April 16th,2015,SSE 50 and CSI 500 stock index futures contracts traded formally,including large and small cap stocks in the futures range,provided multi objects stock index futures products which are more plentiful for market participants,and it also had extended the depth and breadth of finance futures products.With the rapid development of stock index future,a lot of theoretical researches have been done by scholars at home and abroad,among which relationship between stock index futures and stocks market volatility has always been a hot topic.But this topic is still in controversy and there still is not a definite conclusion to it.Most domestic studies also have problems such as a short period of time,inadequate data,lacking of further research and so on.Hence,this article will be based on existing research,integrate with the domestic stock index futures' development,and use GARCH family models to research the impact of stock index futures on stocks market volatility,draw relevant conclusions and give some policy advice.Since the CSI 300 stock index futures launched earlier,while the introduction time of SSE 50 and CSI 500 stock index futures is relatively short,domestic studies about relationships between stock index futures and stocks market volatility almost concentrate on CSI 300 index,and researches on the newly launched SSE 50 and CSI 500 stock index futures are very little.Moreover,the SSE 50 and CSI 500 stock index futures were launched on the same day,with the same macroeconomic background and economic conditions,so the article will use SSE 50 and CSI 500 stock index futures as research subjects,to research the influence of stock index futures on the stocks market volatility.Under this background,this paper put forward the research topic.In the theoretical analysis part,we introduced the relevant knowledge about stock index futures and stocks market volatility,and explained the path in which stock index futures influence the stocks market volatility.Then we got to the empirical analysis part.First we established a GARCH model and joined the virtual variable in the variance equation to improve the model,and analyzed the stock index futures'impact on the stocks market volatility.The empirical research shows that:Both the SSE 50 index futures and the CSI 500 index futures decreased stocks market's volatility of the underlying index,but the introduction of virtual variable parameter value is small,and the effect is not significant.Then by establishing a TARCH model we studied the stock index futures' impact on the asymmetric effect of the stocks market volatility.The empirical research result shows that:No matter before the launch of SSE 50 index futures or after the launch,there are not asymmetric effects in the SSE 50 index stocks market.However,before the launch of CSI 50 index futures,there are asymmetric effects in CSI 500 index stocks market,and bad news has a bigger impact on investors than good news.But the introduction of the CSI 500 index futures has an inhibiting effect on the asymmetric effects of the market.Finally,according to the empirical results and analysis,the paper gave some relevant policy recommendations:Timely introduce stock index futures,options and other varieties;Strengthen the supervision and management of the market;Improve and perfect the investor structure in the stock index futures market;Strengthen the understanding and education of small and medium sized investors in financial derivatives such as index futures,actively guide small and medium investors to invest rationally,and accelerate the development of professional institutional investors.In brief,we should actively and steadily push forward the development of China's capital market,form a stable investment environment in line with China's actual situation,and narrow the disparity with the capital markets of developed countries.In this paper,we select the less studied SSE 50 index futures and CSI 500 index futures as the targets,to study the impact of China's stock index futures on the volatility of the stocks market.It helps to reveal the changes of the market and investors.Because SSE 50 and CSI 500 stock index futures have their own characteristics:the former is an investment tool for the big basket market,while the latter is an investment tool for the small basket market,the results of the study can include both sizes of stocks market,and are more comprehensive.And we compared and analyzed the empirical results of the two to make the study more in-depth.What's more,by establishing a GARCH model with a virtual variable joined in the variance equation and a TARCH model,we not only solve the heteroscedasticity problem of the return series,exert empirical research on the impact of stock index futures on the volatility of stocks market,but also analyze the asymmetric effect of stock index futures on the stocks market volatility.These are the innovations of this article.The inadequacies of this article lie in:Due to the limited data,we can only study the short-term impact of the introduction of SSE 50 and CSI 500 stock index futures on the volatility of the corresponding stocks market;Due to the limited varieties of stock index futures,the scope of choice of the research object is relatively narrow.The inadequacies of this article will be my further efforts.