Research On The Impact Of CSI 300 Stock Index Futures On Spot Market Volatility

At the end of the 20 th century,stock index futures began to develop in the United States as the earliest,followed by popularization and rapid development in some developed countries in the world.On the one hand,stock index futures are powerful in terms of price discovery and risk avoidance.On the other hand,the black “Monday” and “Friday” problems involving many times have attracted many experts and scholars to study stock index futures.Regardless of theoretical study or empirical study,experts and professors have constructed many mathematical models and theoretical methods for analysis.This article also focuses on this topic of current financial theory and practice frontiers,and uses the GARCH model and the EGARCH model to study the impact of the CSI 300 stock index futures on the volatility of the spot market on the basis of the experience gained from previous generations.China issued the CSI 300 stock index futures on April 16,2010.Many domestic experts,professors,and scholars have started in-depth study on this issue since its launch.This paper studies this topic after drawing on previous experiences.I select the daily closing price of the CSI 300 Index from April 8,2005 to April 7,2017.In terms of study methods,in order to carry out detailed and comprehensive study on the issues to be studied,this paper adopts a method of group comparison study.The data was divided into group A(before launch),group B(after launch)and group C(full sample).By comparing the changes in the GARCH coefficients of the A and B models,it is found that stock index futures accelerate the efficiency of transmission of market information;the coefficient observed after adding the dummy variable to the C group(full sample).It is negative to obtain the CSI 300 stock index futures Weakened the volatility of the spot market.In addition,we also conducted EGARCH modeling analysis on three sets of data.Through the ? coefficient of the model,it is judged that the information of “best” information is greater than “good” information,and this paper finds that the introduction of stock index futures reduces this asymmetry.