The Research Of The Stock Index Futurs’Influence On Spot Market’s Volatility In China

Stock index futures is an important financial derivative, which takes stock price index as underlying assets. The United States introduced the first stock index futures contracts in world since the1980s of last century, there were37countries and regions launched their stock index futures, which cover almost developed countries and some developing countries. China also launch its own stock index futures-CSI300index futures on April16,2010. it marks China’s capital market to further improve and mature,but also for the investors more investment channels and space of Hedging. For the introduction of stock index futures whether will impact on this issue, the conclusions of scholars is not the same.So far, the CSI300stock index futures has launched early two years, it reduce the volatility of the spot market, or exacerbate its volatility, and what is the different of macroeconomic variables’influence on the spot market’s volatility before and after the introduction of stock index futures. Whether the introduction of stock index futures improve the effectiveness of the market right, to answer these questions have a strong practical significance.This paper is divided into six parts. The first part is introduction, which deseribes the background and significance, research structure and methodology, innovations and shortages.The second part is literature review, which summarize and comment on the related literatures both domestic and abroad.The third part is the theory of stock index futures and volatility, including a brief introduetion of stock index futures and its characteristics and significance. The fourth part is the empirical analysis about influence of stock index futures on stock market volatility. The fifth part is conclusions and suggestions.The results of this study indicate that CSI300stock index futures and trading volume did not affect China’s stock market volatility.CSI300stock index futures has increased the impact of macroeconomic variables on the volatility of the spot market in China. The possible innovations are:(1)This paper presents the latest evidenee, it selects the CSI300Index Futures as research objeet. And there is little research on it because of its short time to market.(2)The researeh is more systematic and comprehensive, This article not only studied overall impact of the stock index futures on volatility of the spot market, discussed the volatility of Stock index futures on closing Date.(3)Use VEC model, and variance decomposition to studied influence of the macroeconomic variables on the volatility of spot market before and after the introduction of stock index futures, Scholars seldom use this comparison method to study volatility.