| Nowadays stock index futures takes great part in financial market and has become the most active financial derivative in the world. It can help investors avoid system risk and reduce loss in financial market. However, the stock index futures encounter some difficulties in the way of itself development and there is controversy underlying the boom of the stock index market. Because of the drastic volatility of the stock index futures, people also think the stock index futures as the reason of the spot volatility and investors often put the stock index futures on the head of the hazards. Stock futures, as one of financial derivatives, take great part in hedging, price discovery function and resource allocation so that it can reduce the volatility of the spot market in some extent. In the same time, the leverage effect of the stock index futures together with the speculator in the financial market make the drastic impact on the spot market.In our country, the relevant government released the first stock index futures in April16th,2010, named HS300stock index futures and began the development of the stock index, playing great role in our financial market and promoting the development of our financial market. The HS300stock index futures attract great attention and discussion since it launched. Because the short operation of the HS300stock index futures and the problem is so complicate, different people take different opinion towards this problem. Today there is four years from the trading of the HS300stock index, so there was is a lot of data of the stock market operation and we can use these data effectively to solve the problem that the HS300stock index futures whether enhance or reduce the volatility of the spot.This essay start from this point, by collecting the close price of the stock market from January15th,2007to July25th,2013and the close price of the HS300stock index futures from April16th,2010to July25th,2013and then using GARCH(1,1) and TARCH(1,1) model to analyze this problem. In the way of studying this problem, in order to discover something new exactly, this essay except the influence caused by the development of domestic economy. Through the empirical analyze, this essay comes to the conclusion that the publication of the HS300stock index futures reduce volatility of the spot market even though the influence is small; after the trading of the HS300stock index futures, the spot market enhance the transmission of the new information effectively and the old information transmission don’t change anymore; by analyzing the influence that the HS300stock index futures put on the spot market after the publication of the HS300stock index futures, this essay find that the volatility of the HS300stock index futures can transmit to the spot market and enhance the volatility of the spot. |
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