The Research Of The Impact On The A-Share Market Caused By HS300Stock Index Futures

The HS300Stock Index Futures is an innovative financial derivatives of our country’s capital market.As a kind of futures products,it has some of the features that don’t included in spot products such as hedging and the price discovery.As bridge that crosses from the futures market and spot market,there must be some influence on the operation on our country’s stock spot market when HS300Stock Index Futures these functions.And the most important influence are on the volatility and information efficiency of the spot market.This paper describes the development situation of our country’s stock market after HS300stock index futures is formally traded on the market.And by using the GARCH empirical model,it studies the volatility and information efficiency of the spot market from the angles of both short-term and two and long-term.The empirical results show that:Half a year later after HS300index futures listed,the volatility of our country has not suffered significantly,two and a half years later after HS300index futures listed,the volatility of our country has been reduced.There are three reasons that may cause the volatility difference between the short-term and long-term.Firstly,during the different periods after the stock index futures being listed,there are different amounts of money flowing out of the spot market. Secondly,during the different periods after the stock index futures being listed,the degree of speculative on the market are different.Thirdly,the maturity of the capital market and the perfect degree of the financial system are different.In the empirical study about the information efficiency caused by HS300index futures,by using the Granger model can get the result:The HS300index futures does not play a leading role for the stock index in our country.On the basis of this,by using the GARCH model and the EGARCH model in stages,the results show that:the price discovery function of HS300stock index is limited in the capital market of our country.There are two reasons that may cause the result.On the one hand,there is a lack of institutional investors to participate in stock index futures market,so that ithe balanced price is difficult to form quickly.On the other hand,information asymmetry phenomenon is serious in our country’s capital market,so that information cannot be effectively passed.According to the result of empirical research,and in combination with the actual situation between the futures market and the spot market,we can put forward three suggestions:improve the supervision of legislation,develop institutional investors and strengthen information disclosure.These three suggestions will be contribute to play the function of stock index futures better, and promote the development of capital market in our country.