The Research Of Volatility About Stock Index Futures On Share Market

Stock index futures with the features-Both sides of the transaction is a financial derivative products, its introduction can enhance immune function of the financial system and strengthen the capacity to resist risks. Of course, the stock market will be affected negatively by the stock index futures and arbitrage activities, stock index futures may increase the launch of the volatility of the stock market. With the introduction of stock index futures, stock index futures of the impact on the stock market have been controversial. This paper describes the stock index futures based on characteristics, functions and risk. Then, this paper reviews the relevant volatility research literature and development about domestic and international stock index futures and stock markets so far. In this paper, the object of study is the relevant rate of return about IF 1012 contract with the Maximum transaction time and the HS300 Index. This article tries to answer the question whether the introduction of stock index futures is the reason about the volatility stock market and attempts to describe stock index futures has played a positive role. In addition, the paper commonly use in financial time series GARCH model to handle data and introduce the dummy variables D (0,1) Based on the model. Data Interval has a boundary with April 16,2010, and the HS300 Index rate of return is divided into two sub-intervals of equal. Then we can compare the problem if share market volatility is changing when the stock index futures were introduced. This paper finally obtain the conclusion based on the GARCH model that the introduction of stock index futures on China's stock market to overcome the "single market" and deal with the risk has played a positive role. According to the empirical conclusions, this paper presents how to play the positive role of stock index futures on the stock market and some inspiration to Investors.