An Empirical Study Of The Stock Index Futures On The Volatility Of Stock Index Spot

Stock index futures contracts were born in the needs of investors’requiring to avoidthe risk of severe market volatility. The existence of the stock index futures market meetsinvestors’ requirement of resonablly expecting the trend of stock index together withkeeping and increasinginvestment value， which has changed the status of the stockmarket unilateralism， placed a significant impact on improving the capital marketsystem， and preventing financial risks. April16，2010， to comply with the needs ofmature securities market and in-depth development， the first true stock index futuresproducts-HS300stock index futures contract was introduced and it had a major impactin promoting the improvement and development of China’s securities market. During thetwo years， the relationship btween stock index futures market and spot market becameincreasingly closer， transactions made spurred， price discovery and hedging witnesseda significant development， stock index futures have entered the fast track of smoothoperation.The discussion on the impact of stock index futures， stock index spot market hasalways been a hot topic for government departments and scolars. Some scholars opposethe development of financial derivatives on the grounds that the existence anddevelopment of the stock index futures， stock index spot market volatilityincrease therisk of instability of the stock index. And in October1987， the fact that New York stockindex plummeted and sinificantly shocked the global stock index was the strongestevidence. On the other hand，some scholars hold a a positive opinionbased on the factthat stock index futures can effectively assist investors to the expectefuture stock marketmovements，hedge risks in stock market，thus avoiding large fluctuations and shocks instock index market. Therefore， from both theoretical and empirical perspective，clarifying the impact of stock index futures on the spot market is imperative for exploingthe information transmission mechanism， researching the fluctuations of the stock indexcash and futures， and proving the validity and rationality of the stock market.On the basis of the qualitative analysis of stock index futures on the volatility ofstock index spot market， this papermade quantitative analysis to study the influence ofshort-term， long-term fluctuations happened in the stock index futures on the stock index spot market. This paperused standard ARCH model， the HP filter methodtoresearch the influence of short term fluctuations in stock index cash on the spot， VARmodel， impulse response model， variance analysis and other methods of long-termfluctuations in stock index futures and concluded that the influence of short-term stockindex futures on the spot market volatility increased and no obvious impact was found onlong-term spot market volatility.Based on the conclusion， some countermeasures weremade to improve China’s financial derivatives market both on policy and institutionsides.