Research On The Impact Of China SSE 500 Stock Index Futures On The Volatility Of Spot Market

Since the introduction of stock index futures in the international market in the 1980 s,it has undoubtedly been one of the most important financial innovations in the financial market.The development has also become the most financially derivative financial derivative tool in the financial market.First,all countries and regions in the world have introduced stock index futures contracts that target various assets.On April 16,2010,China launched a simulation experiment.China's first stock index futures contract,the CSI 300 stock index futures contract,has attracted attention from all sectors of the community.Since then,scholars have focused on the functions of stock index futures such as price discovery,arbitrage,and investment risk,as well as the spot market.The influence of fluctuations and linkages has been studied in depth.Because the futures contracts studied by different scholars and the number and time period of selected samples are all different,the conclusions reached are also different.The conclusions drawn from the study of emerging markets and mature capital markets may also be the opposite.China's stock index futures market is still immature in terms of time,market depth,and management system compared with developed countries.This may make us different from the international mature capital market in that the spot market makes a difference in the appearance of stock index futures.Reaction.In view of this,this article intends to discuss the impact of the introduction of CSI 500 stock index futures on the spot market,in order to serve as a reference for investors.This paper first studies whether the price of CSI 500 stock index futures is related to the price of the CSI 500 index.After determining the relationship between the CSI 500 stock index futures price and the CSI 500 stock index price,it will then study the price alignment of the CSI 500 stock index futures.The effect of the price fluctuation of the stock index 500 is mainly based on the introduction of dummy variables in the GARCH model.Through theoretical and empirical methods,the impact of the listing of China Securities 500 stock index futures on the volatility of the spot market is analyzed.By observing the impact of short-term CSI 500 stock index futures on the price of the CSI 500,it was found that after the listing of the CSI 500 stock index futures,the price of the CSI 500 changed along with changes in the price of the CSI 500 stock index futures.Securities 500 stock index futures have an impact on the price of the CSI 500 index;then the virtual variable is used in the GARCH model to study the effect of the CSI 500 stock index futures on the volatility of the stock index and finds that the CSI 500 stock index futures are running smoothly during the normal period.Futures can reduce the volatility of the stock index under limited effects.According to the research conclusions of this article,the relevant departments have made the following suggestions: First,actively cultivate investors and optimize the current investor structure;Second,strengthen the market management of stock index futures and improve the market system;third,Strictly control the non-compliance of the securities market,improve the trading market;Fourth,increase the development of new varieties of the futures market,and further enrich the stock index futures market;Fifth,increase the speculative cost of the stock index futures market.