| Stock index futures not only bring a whole new financial products,but also a new investment philosophy.Stock index futures is a future contract which the the underlying asset is the specific stock price index.On account of the the particularity of futures pricing method and transaction system,it naturally has the hedging and price discovery function,which makes stock index futures an important role,including risk avoiding and price guide.The stock market in our country has been developing for a long time,but the stock index futures was not introduced in the early stage,and the reasons includes two points: First,in the market,investors are lack of rational and easily to be influence by the market sentiment,and the phenomenon of "Chase after go up kill drop" can be seen everywhere;At next,most investors in China are lack of understanding about the stock index futures,and they are not good with the function of stock index futures.The margin system of stock index futures determines its high leverage,which attracts a large number of speculators to be in the stock index futures market.Excessive speculation bring huge risk because investors is lack of rational and knownledge of stock index futures,while it's contrary to the regulators' wish.They hope stock index futures an improve the stability of the spot market.The investors and regulators are focus on the influence of volatility on the spot markets under the introducation stock index futures is and the price guide relationship between stock index futures markets and the spot markets.As we all know,stock index select different listed company stocks of kinds features as samples to compile,which synthesisly reflects the overall trend of the stock market price index.CSI 500 stock index mainly constitutes the listed company stocks of the small and mediumsized market value,and that's why it's of great significance to such investors.The introduction of CSI 500 stock index futures enrich the variety of stock index futures,provides investors with the more targeted tool to avoid risk and make it more meaningful for the price guide relationship between the stock index futures on the spot market.In this article,we adopt descriptive statistics method and the method of econometric model to do research into the influence of volatility on the spot markets under the introducation stock index futures is and the price guide relationship between stock index futures markets and the spot markets and here is the structure: In the first chapter,we talk about the introduction about research background,domestic and foreign existing research status,research ideas and the significance and the innovation points of it.In the second chapter,we talk about a summary of relevant concepts and theories,involving the introduction of related basic theories and concepts.In the third chapter,we discussed the impact of volatility on the spot market under the introduction of stock index futures.We adopt descriptive statistics method and the ARMA-GARCH model to compare the volatility of the spot market before and after the introduction of stock index futures.In the fourth chapter,we study on the price guide relationship between the stock index futures market and the spot market.We adopt descriptive statistics method and vector error correction(VEC)model to do research into the linkage between the two markets,and clarify which is the leader.In the fifth chapter,we give the conclusion and suggestion.We sum up the conclusion in the former chapter and provide suggestions for the regulators.Based on the research conclusion,some suggestions are put forward for regulator: first,regulators should further strengthen market control and limit market excessive speculation;what's more,regulators should strengthen the guidance and the education of investors and make them more rational;At next,regulators should guarantee the fairness of financial markets;Last,regulators should develop new varieties of stock index futures to enrich the stock index futures market. |
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