The Empirical Study About The HS300 Stock Index Futures' Influence On The Stock Spot Market's Volatility

With the HS300 stock index futures officially launched in China, the capital market in China has entered a new era. They provide investors with a risk management tool which can transfer risk and make a profit. The successful launch of stock index futures has improved not only the capital market but also its efficiency. The idea of value investment becomes more and more popular among the investors.However, after seeing a great benefit which the stock index futures bring, we should also fully aware of the risks accompanying with them. As a financial derivative product, the subject matter of stock index futures is stock index. For this reason, if the price in stock index futures market changes violently, it must influence the fluctuations of stock market price, even its entire capital market operation. To date, domestic scholars have carried on a large amount of research about the stock index futures' influence on the stock make's volatility. However, because of the stock index futures have not launched yet, these studies have some obvious limitations and different conclusions. Therefore, the study on the volatility impact of stock index futures on the stock market has a great practical significance in China.The article will take the relationship between stock index futures and spot market as the starting point and the high frequency data of S300 index as the research target. We will use qualitative analysis as well as empirical ones to have a deep research the volatility impact of stock index futures on the stock market. In course of the empirical analysis, the paper will take GARCH models to estimate the volatility of HS300 index's return in order to compare the manifestation of HS 300 index in different periods. What's more, the article will also add dummy variables into the model in order to make conclusions more intuitively. Through a lot of empirical research and theoretical analysis, I regard that the launching of stock index futures doesn't change the volatility of the stock market as well as its transmission efficiency obviously. Therefore, I consider that it is necessary to further improve the stock index futures market in order to bring the functions of the stock index futures into full play. As a result, we can enhance the efficiency of the whole capital market. Also, we will raise some suggestions for the regulatory agencies and investors so as to give them some help in the practice.