Research On The Impact Of CSI 500 On Stock Market Volatility

In recent years,the topic of reducing financial risk has attracted the attention of domestic regulators and many market participants.As one of the risk hedging tools,stock index futures has given full play to its complementary advantages since its launch,but it is also controversial due to stock market disasters and other abnormal situations.China launched the first stock index futures-the CSI 300 stock index futures--on April 16,2010,marking that stock market of China has made significant progress.It has been nearly 30 years since the launch of the first stock index futures in the world.Later,stock index futures of CSI 50 and CSI 500 were launched on April 16,2015.However,the subsequent stock market disaster in the same year pushed the newly launched CSI 50 and CSI 500 stock index futures to the forefront of the storm.Some participants even directly blamed stock index futures for the market crash.So far,the academic circle has not reached a unanimous conclusion.For a newly launched policy,we should not only pay attention to the short-term impact of the policy on the stock market,but also pay attention to its medium-and long-term impact.This paper studies the stock index futures of China securities 500,which are mostly small and medium-sized stocks.Compared with large-cap stocks represented by CSI 300 and CSI 50 indexes,small-cap stocks are destined to have higher volatility than large-cap stocks due to their characteristics.Therefore,it is of more practical significance to study the changes of stock market volatility after the introduction of stock index futures.This paper adopts the panel data policy effect evaluation method proposed by H.siao(2012),which overcomes the strict assumptions of classical models such as GARCH and DID.It is more suitable for studying the impact of stock index futures policy changes on volatility of stock market.By constructing counterfactual volatility,the daily volatility data of CSI 500 stock index futures from August 1,2011 to December 31,2018 were analyzed.The panel data fixed effect model and random effect model were used for empirical analysis.Through the Hausman test,it was found that the random effect model was more suitable to study this problem and the empirical results were significant,indicating that the introduction of stock index futures could reduce the stock market volatility to some extent in the medium and long term.According to the conclusion,at the end of the article,the corresponding policy Suggestions are given for the future development of China's stock index futures.