Research On The Impact Of Stock Index Futures On The Stock Market Volatility

Since China capital market came into being, it has already passed through more than20years. With the reform of our country financial sectors gradually going further, thecapital market is improving day by day, and more and more financial products are created.With the consequent financial risks, we are badly in need of the financial futures to avoidthe risks in the capital market. Upon finally coming, the csi300stock-index futures wentpublic on April16th,2010, which marks that the capital market took a substantial stepforward. It has been more than three years since the first listing of the csi300stock-indexfutures. However, How the function of risk avoidance play？To address this problem, thispaper is committed to the research of the Impact of futures trading on volatility of Chinastock markets, and I hope to make suggestions to improve the efficiency of informationbetween the stock markets and for the risks management of related governmentdepartments. I chose data of csi300stock-index futures daily closing quotation from April16th2010to November29th2013and data of csi300stock index daily closing quotationfrom January2th2008to November29th2013. First, basis rate,Granger causality test and co-integration test are employed to analyze the correlation of csi300stock-index futures and csi300stock index. Than three GARCH models are made toanalyse both the volatility of stock daily return rate before and after the index-futures belisted to determine whether the model conclusions are consistent. Fromthe empirical results, I find that volatility of China stock markets is reduced after the csi300stock-index futures went public and the leverage effect is also weakened. Since ourstock market is still not mature, the information between the stock markets is stillinefficient, and the price discovery function has not been fully exploited.