Empirical Analysis On The Relationship Between Stock Index Futures And Stock Market Volatility In China

April 16,2010,the Shanghai and Shenzhen 300 index futures(code if)successfully listed.This is also China's first stock index futures varieties,with historic significance.The stock index futures is produced by the market demand,it has 3 basic functions,namely evade risk,price discovery and asset disposition.The mainstream view of investors and regulators is that the introduction of stock index futures can play the role of transferring risk,optimizing capital flow and stabilizing China's financial market.However,these ideas were hit hard by the Chinese stock market's June 2015 plunge.In the 15 stock-crash,the Shanghai Composite Index plunged 2,328 points.For a time,public opinion generally blamed the stock market slump on the"malicious short selling" of speculators in the futures market and described the stock index futures as'weapons of mass destruction",and even published"should close the stock index futures market" remarks.In order to prevent a sharp fall in stock prices and restore investors confidence in the market,CICC's futures market quickly introduced a number of restrictive controls.The end result is that the trading volume of stock index futures shows a cliff-type decline and the market is dismal.In February 2017 and September,China's financial futures exchange finally liberalized its control over stock index futures.In February 2017,the China Financial Futures exchange adjusted the regulatory cordon of excessive trading in stock index futures to 20 hands.The previous regulatory standard was 10 hands.On September 15 last year,CICC released its policy on stock index futures.The trading margin standard of Shanghai 300 and Shanghai 50 stock index futures contracts was adjusted to 15%.The previous standard was 20%.Shanghai 300,China Certificate 500 and Shanghai 50 stock index futures of the contract closed the transaction fee standard adjusted to 6.9 out of 10,000.The previous fee standard is 9.2(?).In this context,this paper explores the volatility relationship between the Shanghai and Shenzhen 300 Indices and stock index futures through empirical methods.This paper uses the VAR and Grange causality test model,the GARCH model,the Var-bekk-garch(1,1)model and the Dcc-garch model to study whether there is spillover effect between stock index futures and stock market spot indices in China.The data used for the Shanghai and Shenzhen 300 Index and its futures index,according to the relevant national policy as the demarcation point,the stock index futures trading has been relaxed,limited and in the relaxation of three time period to study.Through the analysis of the yield and volatility,the results show that:restricting the trading of stock index futures,to some extent,has a certain influence on the relationship between spot trading and reduces the linkage between the two.The innovation of this paper is to enlarge the sample space capacity as much as possible in order to obtain the objective results.In addition,the paper combines the two aspects of the short-term effect of stock index futures on the spot market,which is the advantage of the previous research from a single point of view.Another place where innovation exists is that this paper chooses three points of time for empirical analysis.The first is the Shanghai and Shenzhen 300 stock index futures,the second is before and after the implementation of the strict restrictions on stock index futures,the third is the liberalization of the stock index futures before and after the restrictions,in order to be able to through the empirical results targeted policy evaluation.