The Effects Of CSI300Index Futures On The Volatility Of The Stock Market

Among the world’s major financial derivatives, the time of occurrence of the stock index futures is the latest. After30years of rapid development, however, the stock index futures has become an important product of the global equity markets, of which the trading volume and varieties are far ahead of other financial derivatives. Because of the rapid development of stock index futures, the research on its characteristics has attracted more and more interests, as well as the study of the volatility of spot market and future market. In general, people think that the stock index futures products are conducive to the rational allocation of resources and the price discovery of stocks on the spot and have an important role to reduce the volatility of spot products. However, the fact is not always the case, such as the1987stock market turmoil in the United States, making the stock index futures being criticized universally. From then on, a large number of researchers dedicated to the study of the relationship between stock price volatility and stock index futures on the spot market.The listed transactions of CSI300stock index futures made stock index futures become the trading products of securities and financial markets in China officially. Through the twists and turns of the introduction of stock index futures products in China, CSI300index finally came out in2005. However, the CSI300stock index futures products that can be traded were launched five years later, a rare long time span. One reason is that there are different views on the effect of stock index futures on the stock market, especially the effect on the price volatility of the stock market.The paper is based on this reality, combining with classic financial theory and the reality of China, using the method of theoretical analysis and empirical analysis, analyzes the data of market transactions as of July2012. For CSI300index is autocorrelation sequence and heteroscedasticity, the paper uses ADF test, ARCH-LM test and correction GARCH and EGARCH model as methods, introducing dummy variables to analyze the Shanghai and Shenzhen index volatility before and after the introduction of stock index futures. The results show that the launch of the CSI300stock index futures is conductive to reduce the volatility of the stock market, its impact on good news and bad news is asymmetric. Based on the conclusion, the advices of standardize the spot market, give full play to the role of futures markets and strictly guard against risks are raised in the paper, so as to promote the building of China’s securities market.