Study On The Influence Of Stock Index Futures On The Volatility Of The Selected Spot Asset Market In China

After the birth of the first stock index futures in the US,1982,its unique hedging function attracts a large number of developed capital markets and emerging capital markets to launch a variety of stock index futures that are adapted to the actual market situation.The development of China's stock index futures market is very backward.In April 16,2010,the first stock index futures in China,CSI 300 index futures,was launched.Then two index futures were launched again in April 16,2015,SSE 50 index futures and IC 500 index futures.Stock index futures provide a convenient and feasible hedge for capital market that investors can avoid investment risk.However,whether the actual situation or the relevant research literatures through the domestic and foreign capital market,sometimes,stock index futures did not play the function of hedging increasing the capital market volatility.Therefore,the impact of stock index futures on the market of the spot assets has always been a hot issue in the research of various countries.Through the study of literatures around world,whether foreign or domestic scholars,has not formed a consistent conclusion— some scholars believe that the stock index futures operation exacerbated the fluctuation of capital assets market,some scholars believe that stock index futures market stabilize the fluctuation of capital assets market,some scholars believe that no relationships between the two markets.In view of the scholars in our country,CSI 300 index futures has been formed a relatively complete research,and the lack of research on the SSE 50 index futures and CSI 500 index futures,this paper selects the SSE 50 index futures listed on its launch of the underlying cash assets impact study.Based on sorting out the research results at home and abroad,this paper summarizes stock index futures market and related theories,and summarizes China's stock index futures market.In empirical research,the paper selected from July 19,2012 to December 29,2017 all the trading days of the SSE 50 return series,and from April 17,2015 to December 29,2017 all the trading days of the SSE 50 index futures return series for the study sample,after the statistical description,unit root test and Granger causality etc.,and established GARCH model and the TGARCH model.The results show that,SSE 50 index futures had very limited inhibitory effect on SSE 50 market,increased the influence of fluctuations in the stock market index on the impact of historical information,and improved the information on the market of "nonsymmetry".Finally,based on the results of the study,this paper gave reasonable policy suggestions on the sustainable development of SSE 50 index futures market.