An Analysis Of The Influence Of The Stock Index Future On China’s Stock Market Volatility Under Restricting Speculation

Stock index futures is an important financial derivative tool, and it is currently one of most actively traded products on derivative securities market the, the level of trading activity is one of the important developing signs of a country’s financial market Stock index futures in China since the date of birth, is controversial, since the June 2015 15 stock market has begun to enter the fall in prices, many scholars think China’s market is not mature enough, the stock index futures speculation atmosphere.Since August 25, 2015, China Financial Futures Exchange by limiting positions in trading volume, increasing the margin to increase fees and other means of overweight stock index futures, resulting in three major stock index futures total volume to drop more than 90%.For the fluctuation of stock index futures on the spot market will produce what kind of impact this topic in academic circles has been a controversial matter, stock index futures is a double-edged sword, in the futures market operation if due to lack of supervision, the two cities is now the relationship between lack of understanding,resulting in stock index futures market fluctuates greatly, cause extremely adverse influence on the spot market. Therefore, from the reality of Chinese stock market of by gold in contrast to the introduction of restrictions on speculative trading system and market conditions, to study the influence of stock index futures on the volatility of the spot market, for the launch of stock index futures trading in the capital market to make appropriate and comprehensive description of, to predict the present relationship of the two cities, the government authorities formulate relevant regulatory policies and to promote the healthy development of the stock index futures market and spot market have important practical significance.This study combines theoretical analysis and empirical analysis to study the impact of stock index futures on the spot volatility under the restriction of speculation.To gold in the introduction of restrictions on speculative trading system time as dividing point, on the Shanghai and Shenzhen 300 index and the CSI 500 index stock daily return rate sequence were used with dummy variable GARCH model for empirical research. Research limitations before and after the introduction of speculative trading system of stock market fluctuations. On the basis of, using the ADF test, Johansen co integration test, vector error correction model and Granger causality test, generalized impulse response analysis and variance decomposition methods of stock index futures and spot market relationship for empirical research, and ultimately determine the limit speculative trading of degree before and after the introduction of stock index futures market on the spot market volatility influence degree. The researchconclusions are as following:Restrictions on the introduction of the speculative trading system after the spot market volatility has decreased, to limit the stock index futures speculative trading can play a role in a certain degree of stability of the market. There is a long-term equilibrium relationship between futures market and spot market, short-term prices deviate from the equilibrium and adjust the intensity of the futures market is greater than the spot market, restrictions on speculation and adjust the intensity of the futures market has weakened, the futures market to the spot market price exists one-way guide relationship, restrictions on speculative trading system to reduce the deadline of two City Association, reduce the influence degree of the futures market to the spot market.Compared to the Shanghai and Shenzhen 300 index spot market, CSI 500 index spot market is not too mature, more vulnerable to manipulation and attack.