Our Country The Influence Of Stock Index Futures Listed On The Underlying Index Yields Jumping

As the first derivatives (Standardization) of China---CSI300Stock Index Futures was listed; the single direction of China’s capital for nearly20years came to an end. CSI300Stock Index Futures listed on April16,2010has been running well for two years. The correlation of spot and future is greater than99%; the daily trading volume lie between2000billion and3000billion RMB. With the intensification of the global financial market volatility, return on assets to large-scale changes in the frequency is getting higher and higher, the yield leptokurtic characteristics become more obvious. Domestic and foreign scholars are very concerned about the impact of the introduction of stock index futures to spot market volatility. This will not only affect characteristics of the spot market volatility, but also for the China Financial Futures Exchange launched new futures (e.g. bond futures, currency futures) to provide experience.Based on the research results of experts and scholars for foreign developed markets and emerging markets, taking into account the rate of return of assets for large-scale changes in frequency, we used an improved GARJI model to conduct am empirical study for the underlying index of China’s CSI300Stock Index Futures. In this model, changing in the rate of return on assets is mainly divided into two parts: the GARCH part which results from the flat general market information, the jump part which caused by the signification or unusual information. Then, we introduced a dummy variable into the model.We find some empirical results:(1) China’s CSI300Index has the phenomenon of the jump for the rate of return and the jump intensity is time-varying. From the parameter estimation, the jump intensity often gathered. That is to say, early high jump probability will make a higher jump probability for the next time.(2) As CSI300Stock Index Future contract was introduced, the asymmetric effect of jump mean from the good news and bad news weakened.(3) The introduction of futures reduces the probability of jump for the underlying asset, thus reducing the proportion of jump part; the impact for GARCH part is not significant.When the significant or abnormal information is involved in the capital market, stock index futures firstly reflected this information because the derivatives market have low transaction costs, high liquidity and high leverage. This reduces the impact for the stock underlying index from the significant or abnormal information.