Research On The Influence Of Stock Index Futures On Chinese Stock Market Under Abnormal Market Fluctuation

As the first financial futures,Shanghai and Shenzhen 300 stock index futures were listed in April 2010,providing a way for domestic investors to hedge funds.Chinese stock market fluctuated abnormally in 2015.There is an academic view the stock index futures market provides a way to increase the instability of the stock market.Since August 2015,The Securities Regulatory Commission has restricted trading by limiting stock index futures.Since February 2017,the Securities Regulatory Commission has gradually opened restrictions.Researching the impact of futures on the stock market on the basis of international experience is conducive to the stable development of Chinese financial market.Under this background,this paper aims to take Shanghai-Shenzhen 300 stock index futures as the research object,taking qualitative analysis and quantitative analysis as the main research methods,based on the modern financial theory and using the GARCH model.In order to explore the impact of stock index futures on spot market during abnormal time in 2015,the TARCH model is used to test the result.The original data used in this paper is the daily closing price of the Shanghai-Shenzhen 300 Index,which was selected from January 4,2005 to June 30,2016.The daily yield data is obtained by taking logarithm as the difference data to reflect the degree of volatility.Combined with the empirical results,we can draw a conclusion from three aspects: first,in the spot market volatility,the stock index futures reduced its volatility.However,the short-term policy did not have an impact on it.Second,in the trading volume of stock index futures contracts,the short-term policy indeed reduced the trading volume of stock index futures contracts and restrained them from playing a role.Third,in the market information transmission speed,after the introduction of the stock index futures trading,the leverage effect of the market information impact price is weakened,which is beneficial to the spot market.Therefore,the effect of stock index futures on spot market in abnormal fluctuation is that the volatility of stock market is reduced limited.This conclusion theoretically confirms the correctness of gradually untying and returning to normal in stock index futures market.Finally,based on the development of stock index futures in China,this paper puts forward some suggestions.