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

As the most active,most traded and the most important derivative financial instrument in the market of derivatives,Stock Index Futures is one of the most important symbols to measure the development of a country's financial market.Compared with the developed financial markets abroad,Chinese Stock Index Futures market is still in development and improvement.Furthermore,because of the influence of the stock crash in 2015,the stock index futures market is limited and has not fully recovered yet.This paper selects as research samples the CSI 300,CSI 500 and SSE 50 Index and the corresponding stock index futures data from April 2,2014 to February 22,2018,using the GARCH family model with the market agent variables,policy virtual variables and trading data of stock index futures to study the stock volatility of the three major stock indices before and after the changes of the three stock index futures trading policies,with empirical research and robustness test.The study found that firstly,the reaction of the stock index volatility to the changes in the policy of the stock index futures is inconsistent and insensitive,and the trend of the characteristics of the three indices is unstable in different policy range.Secondly,stock index futures have two opposite effects on stock index: strengthening or restraining volatility.At this stage,the overall impact of China's Stock Index Futures on spot market volatility is not obvious nor unstable.Thirdly,there is a significant co-directional correlation between the returns of CSI 300,CSI 500 and SSE 50 Index,among which CSI 500 is the most sensitive with a high-risk yet high-yield characteristic.Fourthly,The stock index spot market has volatility clustering.With the change of the stock index futures trading policy,the short-term volatility spillovers of the CSI 300 and SSE 50 are relatively stable,and that of CSI 500 varies greatly.Finally,there is a leverage effect in the stock index spot market,and the volatility affected by the messages is lasting.CSI 300 and SSE 50 absorb new messages faster and are more greatly affected by positive news.On the contrary,CSI 500 absorbs new messages slower and is more greatly impacted by negative news.