Research On Volatility And Momentum Effect In Stock Market Of CSI300Index Futures

April16，2010CSI300stock index futures officially traded at the China FinancialFutures Exchange，which is a milestone in the development of China’s financial market。In reviewing the papers of domestic scholars, we found that the level of volatility inChina focused on the qualitative level, the momentum effect study of the country hasfocused more research on the stock level, the basic use of the choice of the formation andholding period directly copied Jegadeesh&Titlnan research methods, and because of thetime span and different choices on the momentum effect in the Chinese stock market，thereis no uniform conclusion.So we study dozens of industries，as well as one stock selected from each industry，respectively，to study the relationship before and after the total interval with listed on theShanghai and Shenzhen300stock index futures，we mainly use the GARCH model，EGARCH model，stochastic dominance test，as well as industry momentum effect，analysisof the relationship between the industry。Through analysis, we get the following conclusions:1. Stocks and industry fluctuationsand non-analysis concluded that the CSI300stock index futures market have little influenceon the total industry, telecommunications, utilities, optional industry,but have someinfluences on others, and may be the main industry accounted industry’s weight is relativelysmall, so they do not have any impact on the overall industry.2.Dominant test, CSI300stock index futures listed on the market don’t have dominated relationship on all theindustry and all the one stock selected from each industry,and no dominated relationship onA shares H shares.3.The entire range of the short-term industry, there is a certainmomentum effect, while the long-term industry momentum effect does not exist. The CSI300stock index futures market, there are some short-term industry momentum effects, thereare no long-term industry momentum effects. CSI300stock index put on the futures market,the short-term industry momentum effect is strengthened, while long-term momentum effectdoesn’t.The CSI300stock index futures listed on the industry momentum effect is tostrengthen.4.The whole interval before and after listing, the combination of long-term winners and losers are showing revenue inertia and short-term performance of a certaindegree of inversion. But most statistics are significant.5.Different values of the coefficients,we have come to the average income of systemic risk of the stock is not the CAPM expectedlinear relationship, the system risk is not the only factor in determining income, China’sstock market has significant speculative characteristics, is a not mature enough high-riskmarket.