Research On The Impact Of Csi 300 Stock Index Futures On Stock Volatility And Its Price Discover Function

With the rapid development of China's economy,investment entities have gradually become richer in the capital market and the relevant systems of the capital market have been improved.As China's capital market is gradually becoming internationalized,it is necessary to introduce stock index futures to further realize China's Innovative development of finance.As early as 1982,the United States introduced the first stock index futures,and then western developed countries successively introduced stock index futures products.China officially launched the Shanghai and Shenzhen 300 stock index futures in 2010,which is China's first stock index futures product.For the stock market,stock index futures can hedge against some risks such as fluctuations in spot prices to achieve the purpose of hedging,which plays a very important role in the stable development of the stock market.China's Shanghai and Shenzhen 300 stock index futures have been listed for nearly ten years,and have been regarded as the core index for observing the performance of China's futures market.As far as its fund size and turnover rate and the risk control performance of participating institutions,the domestic stock index futures market is Gradually on track.However,has the stock index futures been operating in accordance with its "initial intention" when it was launched,highlighting its core role of price discovery,hedging,and risk management? A unified understanding has not yet been formed.Especially in June 2015,there was a stock market disaster in our country's stock market.Many experts and scholars have pointed out that it is the stock index futures that led to the final collapse of the stock market,and the stock index futures became the target of public criticism.So,can futures show their unique value for spot trading in the range of stock indexes like in other fields,and can it effectively and effectively improve the stock index changes that have long plagued investors? Can it bring more and more potential revenue opportunities for market participants? Deep understanding and analysis of these difficult-to-resolve mysteries have always been the focus of great concern of all parties.Therefore,in order to better analyze and discuss the actual fluctuation of stock index futures in China's spot market and the price discovery function of stock index futures,this article focuses on the CSI 300 from November 1,2017 to December 31,2019 Analysis of stock index and stock index futures data.And continuous time series analysis is attempted based on various domestic financial futures market rules and regulations as the basic conditions for discussion.The relationship between the stock index futures market and the spot market is explored by means of measurement statistics.At the same time,the empirical analysis of the price discovery function of stock index futures is emphasized.In this research process,first of all,using literature research methods,comprehensively collected domestic and foreign scholars' related research on the impact of stock index futures on the spot market fluctuations and the function of stock index futures price discovery,combed the research results of scholars,and summarized the concepts of stock index futures.And theoretical basis to provide reliable theoretical support for this research.Then,with the help of the GARCH model,we study the impact of stock index futures on the volatility of the spot market.Through research,we find that the existence of stock index futures can bring more stable results to the performance of the spot market.At the same time,the current market of the stock index period shows a continuous equilibrium structure.The volatility spillover effects of both the stock index futures market and the spot market are mutual.The market volatility spillover effect is mainly caused by the past unexpected shocks in the spot market;if it is caused by past volatility,the futures market is the main factor.The effect of the futures market on the spot market gradually fades.The existence of the former can Effectively improve the latter's changes,thereby avoiding the disorder of the financial market;the spot market has a very sensitive effect on the futures market,and the information it receives from the futures market can often be quickly fed back.Finally,through the Vector Error Correction Model(VECM)combined with research methods in the field of signal systems such as impulse response method and variance decomposition,we analyze the long-term equilibrium relationship between the Shanghai 300 stock index futures and the spot market and the dynamic adjustment of short-term non-equilibrium Micro dynamic structure.The results of empirical research around volatility spillovers show that two-way spillovers can be clearly observed and exhibited imbalance characteristics from the CSI 300 stock index spot market.With the help of Granger's causality test,it is concluded that there is a two-way Granger causality between the CSI 300 stock index futures and the spot.Changes in the CSI 300 stock index are obviously affected by changes in futures prices.Future price changes play a significant role.Moreover,analysis of variance analysis also proves that the futures market plays an active role in price discovery.Based on the empirical thinking,this article analyzes the arbitrage opportunities brought by the price and volatility spillover laws existing in the stock index period and puts forward related operational claims,hoping to bring some positive significance to the healthy and rational operation of the futures market;at the same time,because The obtained results also provide some valuable references for how to improve the current decision-making and regulatory level from the perspective of system improvement in the future,ensuring that the entire market can be in a more perfect regulatory state for a long time.