The Effect Of Stock Index Futures On Spot Market Volatility

Since the emergency of stock index futures, its impact on the spot market are concerned by scholars, investors and regulators. Chinese stock market appeared the phenomenon of soaring and plunging in 2015. Some people believe that the main reason is the short-selling transactions on the stock index futures market. Stock index futures fell and stock prices followed, the liquidity of market dried up. The relationship between stock index futures and the spot market become the focus of research again.This paper analyzes the operation of CSI 300 Index Futures contracts traded on CFFEX from April 16,2010 to December 31,2015. We focus on its prices changes, traded position ratio and basis in June-August 2015. We have establish GARCH Models, VAR model to prove that the stock index futures is not a primary reason of this crash. The effect of stock index futures on spot market volatility, related to the investors’ risks and benefits, related to the regulator’s policy-making, related to the healthy development of Chinese capital market. The study has important practical significance.There is five chapters in this paper. The first chapter is a introduction, including the background, content, methods, innovation and literature review. The second chapter introduces the definition of stock index futures and its emergence and development. This chapter also introduces the operation of the CSI 300 stock index futures. Chapter 3 is a theoretic study, including the definition of volatility, the futures holding cost theory, the impact mechanism and price relationship between the two markets, the additional volatility and maturity effects. Chapter 4 is an empirical study. This chapter introduces the month continuous data of CSI300 Stock Index Futures, construct the logarithmic return series from both the long-period and short-period angles. By establishing the regression model to analyze the volatility of stock index futures and its effect on the spot market index. The last chapter summarizes this paper and proposed the future research directions.