The Study Of The Impact Of Stock Index Futures On The Volatility Of Stock Market

Chinese stock index futures has been questioned since its launch of April 16,2010.At the same time,it is often considered as the booster of irrational volatility of the stock market.During period of the stock market disaster in June 2015,the stock index has fallen off as a cliff and experienced many tragedies thousands of falling.Once again,people think that stock index futures caused the volatility of the stock market by a large margin.Therefore,the paper that studies the impact of stock index futures on the volatility of the stock market and the role of stock index futures in the stock market crash of 2015,has important theoretical and practical significance.This paper selects the daily return rate of Shanghai and Shenzhen 300 stock index as a full sample data from January 1,2007 to January 1,2017.According to the listed time of CSI 300 stock index futures and the particularity of the stock market in 2015,the sample data is divided into the period of stock index futures before the launch: from January 1,2007 to April 15,2010;the period of short term after stock index futures launching: from April 16,2010 to April 16,2013;the period of long term after stock index futures launching: from April 16,2010 to January 1,2017 and the sample data of 2015.The paper will study from the theoretical and empirical analysis of the two angles.In the theoretical analysis,it introduced the communication mechanism and theoretical basis of the volatility influence between the current two markets.In the empirical analysis,through the establishment of the GARCH model with virtual variables to study the impact of Shanghai and Shenzhen 300 stock index futures on the stock spot market volatility in different time interval,it compared and analyzed of the results of different time interval and drew the following conclusions:Firstly,the launch of CSI 300 index futures reduces the volatility of the stock spot market to a certain extent.Through the regression analysis of GARCH(1,1)model,the coefficient of virtual variables is less than 0,and through a significant test,but the coefficient is relatively small,indicating that the launch of stock index futures reduces the volatility of the stock spot market.Secondly,in 2015,the stock index futures increases the volatility of the stock market to a certain extent.By using the GARC H(1,1)model regression analysis of the 2015 sample interval,the coefficient of virtual variables is greater than 0,and through a significant test,but the coefficient is relatively small,indicating that the introduction of stock index futures increases the volatility of stock spot market.Thirdly,the introduction of stock index futures reduces t he efficiency of new information on stock spot market,and helps to reduce the irrational volatility of stock market.A comparative analysis of the fitting results of the GARCH model under each time interval,we can get that the arch coefficient significantly is smaller.It indicates that the introduction of the Shanghai and Shenzhen 300 stock index futures reduces the efficiency of the new information on stock spot market,and helps to reduce the irrational volatility of stock market.Fourthly,historical information is the most important cause of irrational fluctuation in stock market.A comparative analysis of the fitting results of the GARCH model under the same time interval,we can get that the GARCH coefficient always is greater than arch coefficient,which shows that the old information has greater impact on the spot market volatility than the new information.