A Research On The Impact Of IH50 Index Futures On Stock Spot Market

After the launch of IH50 index futures in April 16,2015,China appeared sharp stock market volatility.Then in September 7,2015,China Financial Future Exchange turned out restrictive measures to strictly control stock index futures trading.These events made domestic and overseas scholars pay more attention to the question whether stock index futures lead to stock market crash.Based on the analysis of the theoretical mechanism of the impact of stock index futures on stock market,we select IH50 stock index futures and corresponding IH50 index as the research objects to conduct an empirical study.On the one hand,we use GARCH model to analyze the impact on volatility of the stock market before and after the launch of IH50 stock index futures.On the other hand,we study the guidance relationship between IH50 index futures and corresponding stock spot price with the methods of co-integration test,Granger causality test,impulse response and variance decomposition etc.The results show that IH50 index futures are not the cause of the stock market crash,and the restrictive measures China Financial Future Exchange turning out did not get good effects.IH50 index futures have a one-way effect on IH50 and IH50 index futures have reflected the price discovery function,although the running time of IH50 index futures are not long.In order to further improve our stock index futures market and enhance the efficiency of information transfer in the market,this paper then puts forward some suggestions on the problems existing in China’s stock index futures market.