Study On The Impact Of Gem Index's Volatility With CSI 500 Stock Index Future

Stock index futures have been widely recognized around the world since its inception.Its appearance has provided investors with new types of hedging tools,which has greatly improved investor confidence and asset security,enhanced the vitality of the capital market,and ensured the stock market and it has made great contributions to the smooth operation of the stock market.On April 16,2010,China listed the first stock index futures-the Shanghai and Shenzhen 300 stock index futures,which ended the history of unilateral trading in the Chinese stock market.On April 16,2015,China issued CSI 500 stock index futures.The launch of CSI 500 stock index futures became another innovation in China's financial derivatives market.The birth of the CSI 500 provided investors with a richer selection of hedging instruments and investment channels,further promoted the continuous improvement of China's financial market.The CSI 500 stock index focuses on the basic situation of the market value of SMEs in the Shanghai and Shenzhen stock markets.The launch of the CSI 500 stock index futures will inevitably affect the CSI 500 stock index.As the constituent stocks of the GEM stock index and the CSI 500 stock index are both the shares of listed companies with medium and small market capitalization,therefore,it is important to study the relationship between CSI 500 stock index futures and the GEM stock index,provided investors with a preference for investing in the stock market of the GEM market a new hedging instrument.Based on the existing research,this paper uses the closing price of 1892 days of GEM stock market from June 1,2010 to March 14,2018,and 712 days of CSI 500 stock index future market from April 16,2015 to March 14,2018 as a research object,trying to investigate whether there is a clear relationship between the CSI 500 stock index futures and the fluctuation of the GEM stock index,and further judge the relationship between the two after submitting the stock damage anomaly value.The cointegration test found that the two have a co-integration relationship,that is to verify that there is a long-term stable equilibrium relationship exists between the CSI 500 stock index futures and the GEM stock index.Granger causality test results show that the CSI 500 stock index futures and the GEM stock index are mutually causal relationships,so it can meet the GEM investor's bearish expectations of investment demand,make two-way trading a reality,and promote the stability of the financial market.By constructing a stable VAR model and performing impulse response analysis and variance decomposition analysis under this VAR model,it is found that the impact of the CSI 500 stock index futures on the GEM stock index is strong at the beginning,and then gradually weakened.From the perspective of the variance decomposition analysis,the change in the total variance comes from the change of the CSI 500 stock index futures is the main part,and gradually decreases with the increase of the lag period,which shows the effect of the CSI 500 stock index futures on the price of the GEM stock index is gradually weakening,but it is still the main reason affecting the GEM stock index.Finally,taking the launch time of the CSI 500 stock index futures as a node,a GARCH model was constructed and a virtual variable was introduced to study the impact of the launch of the CSI 500 stock index futures on the volatility of the GEM stock index,and to re-invent the impact of the stock crisis,empirical evidence further strengthens the conclusion.The basic conclusions of this study are as follows:(1)The GEM stock index and the CSI 500 stock index futures are related.(2)The introduction of CSI 500 stock index futures reduced the volatility of the GEM stock index.(3)After the elimination of the impact of the stock market disaster,the introduction of the CSI 500 stock index futures significantly reduced the volatility of the GEM stock index.Finally,the paper gives recommendations based on the conclusions drawn from empirical research: firstly,government departments should further improve the financial market supervision system,and further strengthen the protection of financial markets and security;secondly,properly introduce new stock index futures and enrich product categories;thirdly,Improve the speculative cost of stock index futures to improve financial market security;fourthly,raise investors' financial literacy level.