A Study About Stock Index Future Influence On The Stock Market

This paper studies the impact of the CSI300stock index futures on China’s stockmarket through choosing the CSI300stock index and the small board index assamples. By using Granger causality test, GARCH (1,1) model and the EGARCH(1,1)model, this paper does research on the price linkage effects between the CSI300stock index futures and the spot market as well as the impact on the volatility andliquidity of stock market for the introduction of index future. The empirical resultsshow that:(1)There is a strong lead-lag relationship between the CSI300indexfutures and spot market, which means that the price discovery function of stock indexfutures can play well. Also the co-integration relationship exists between the spotmarket and the future market.(2)The volatility of the whole stock market reallyreduces because of the introduction of stock index future.(3)CSI300stock indexfuture enhances the liquidity of the constituent market and the non-constituent market.In response to these empirical results, this paper proposes some policyrecommendations in order to be able to contribute to promoting the development ofstock index futures and stock markets.