Research Of The Impact Of The Issue Of Stock Index Futures On The Spot Stock Market

Since our country pushed out CSI300 stock index futures in April 16,2010,the effect of financial derivatives trading on the underlying spot market has been attracted many scholars and practitioners widely discussed.The stock market crash between June and September in 2015 makes this discussion more warmly.A large part of academics and practitioners deny the necessity and importance of developing the stock index futures and other financial derivatives in our country.In their opinion,the stock index futures market is the culprit of turbulence in the financial spot market.Therefore,under this background,studying the impact of stock index futures on the stock market has great importance and necessity.We study the influence of stock index futures on the stock market volatility and market efficiency from the macro aspect and micro aspect in this paper.In the macro aspect,we use the GARCH model and EGARCH model and eliminate the influence of economic situation at home and abroad and the weekly calendar effect on the model,to research volatility,the change of information efficiency and leverage effect of spot market before and after the launch of stock index futures.We found that,the launch of stock index futures takes no significant effect on the spot market volatility,but the most greatly improve the quality of the spot market information dissemination in the relatively short term;in the medium to longer term,the stock index futures plays a key role in reducing the volatility of the stock market,and largely improves the speed of the stock market information.In addition,the stock index futures effectively reduces the asymmetric effect of the stock market,so the futures market plays a considerable role in perfecting the stock market risk disperse mechanism and improving the efficiency of market.In the micro aspect,we use the sample matching method,event study method and difference in difference model,considering the system risk,market circulation value,bid-ask spread volatility,fixed assets ratio,asset-liability ratio,turnover rate,liquidity and foreign exchange risk to research the influence of financial derivatives including stock index futures on market volatility risk and efficiency.According to the result,the launch of stock index futures increases the risk of fluctuations in stocks in the short term,but in the longer term,the stock index futures is effectively reduces the volatility of stocks.Even when the market is strongly speculative,stock index futures,to a certain extent,can also alleviate the pressure of market volatility rising risk.In addition,the launch of stock index futures can improve the efficiency of the constituent stocks market in the short term,and in the long run,the futures market also has great promoting effect to the non-constituent stocks.