Study On The Impact Of CSI 300 Stock Index Futures On Spot Market Volatility

Since the birth of the first stock index futures in the United States in 1982,it has become a powerful risk management tool in the developed countries,and it was not until 2010 that China launched its first official future index,the CSI 300 stock index futures.Whereas,the development process of China's futures index has not been smooth sailing,and has been controversial since its listing.Especially after the stock market crash in 2015,the market accused them of being the culprit.The China Financial Futures Exchange(CFFE),issued a series of restrictions limiting futures trading for market rescue,the CSI 300 stock index futures market was hit hard,trading volume falling sharply.Two years later,in February and July 2017,two small lifts were lifted.Is stock index futures the main culprit in stock market volatility? What impact did the government regulations and deregulations have on the vitality of stock market?This paper explores the impact of the introduction,regulations and deregulations of CSI 300 stock index futures on the volatility of the spot market by establishing a GARCH model that introduces dummy variables.Finally,it is concluded that the introduction and regulations of the CSI 300 stock index futures decrease the volatility of the spot market are in the short term,although not obvious,and deregulations has no effect on the fluctuation of the spot market.The TARCH model explores the asymmetric effects of each period.The introduction and regulation of stock index futures reduce the asymmetric effect in the spot market disappears,and there is no symmetry effect in the later period.And I used Var Model to study the long-term relationship between the CSI 300 stock index futures and the spot market,through the cointegration test of the CSI 300 stock index futures and spot market,it is found that there is a long-term linear equilibrium relationship between them.It is concluded that the variance of the CSI 300 index most from on their own and the impact of the CSI 300 index on the CSI 300 Index futures is much greater than the impact of the latter on the former from the result of the impulse response and variance decomposition.The Granger results indicate that the two sides interact.In summary,in order to make the CSI 300 Index to play a better role in stabling market and etc.,it is recommended that the authorities should strengthen supervision and management of investors,improve the structure of the futures market,and improve information transmission and risk linkage system between the futures market and the spot market.