The Research About The HS300Stock Index Futures Market On The Stock Market’s Volatility

HS300stock index futures are not only the first product of China Financial Futures Exchange, but also China’s first stock index futures. With the HS300stock index futures successful launched, the capital market has entered a new era. The investors have a risk management tool, the capital market is more and more perfect, the market efficiency is also improved. However, the short selling mechanism and high leverage effect of stock index futures, also bring great risks to the securities market. Stock index futures is based on stock index of financial innovation, when the stock index changes, stock index futures prices also along with the change of stock index futures, and changes in turn, the two-way volatility between stock index futures and stock market will impact the operation of the entire capital market. Therefore it is necessary to study volatility between stock index futures and the stock market.This paper, makes an empirical study on the volatility of the spot market before and after the launch of stock index futures, with the5minute high frequency data from HS300stock index as a sample. This empirical study consisted of two stages, the first stage is the sample interval of modeling, in order to launch the SH300stock index futures as the dividing line, respectively studying the introduction of volatility before and after the SH300stock index, then establishing the GARCH model of the SH300stock index, by adding dummy variables to determine the volatility of stock index futures on the spot market, the second stage is to study different development phases, according to the changes of the SH300stock index futures trading volume, will be divided into three different development phases from16,April of2010to6,March of2013,which includes the initial stage, the slow development period, the period of rapid development, and analysis the effects of the different development phases of the SH300stock index futures on the volatility of the spot market.The empirical results show that the launching of stock index futures reduces the volatility of the spot market, but the effect is not significant in full model, while the transfer market information efficiency is not improved, the market shock of old news is much larger than the latest news; for the different development stages, when SH300stock index futures enter into the rapid development period, compared with the slow development period, reduces the volatility of the spot market to a greater extent. This shows that the function of stock index futures such as price discovery, risk elusion is gradually get full with the development of the stock index futures market. But compared with the mature markets overseas, Chinese stock index futures market still has various problems and defects. Finally, according to the result of positive test, author suggests some policies on how to develop the stock index futures markets in china, hope to provide more information for the regulators and investors.