| On February 20,2010,China Financial Futures Exchange launched the CSI 300 stock index futures.The CSI 300 stock index futures officially listed on the exchange on April 16,2010,which marks the official launch of China's stock index futures.However,with the abnormal fluctuations in the capital market in June,2015,stock index futures were considered to be the cause of the plunge and became the target of public criticism.On September 2,2015,CFFEX issued measures to limit stock index futures.This has led to the exhaustion of liquidity in markets and the trading volume of stock index futures has fallen.Subsequently,CFFEX gradually released restrictions on stock index futures for four times on February 17,2017,September 15,2017,December 3,2018 and April 19,2019,respectively.This paper studies the effect of stock index futures on the volatility of the spot market via the event of CFFEX's release policies.This paper first introduces the process of promulgation and the content of stock index futures policy.Then it conducts a theoretical analysis on the impact of stock index futures on stock market volatility.In this paper,Granger causality test,descriptive statistical analysis,ADF stationarity test and ARCH effect test are used to test the feasibility of the model before constructing the GARCH model.Next,the GARCH model with dummy variables is used to analyze the impact on the volatility of the Chinese spot market by the CSI 300 stock index futures.The data taken in this paper are CSI 300 stock index stocks and the CSI 300 stock index futures.The data is divided into three groups for comparison,via the event of CFFEX's release policies and finally the dummy variables are introduced.Through empirical analysis,we can find that although the loosening of stock index futures enhances the volatility of the spot market,it has improved the efficiency of market information transmission and the liquidity of the market and has reduced the leverage effect of the stock market. |
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