Research On The Volatility Of The Shanghai And Shenzhen 300 Stock Index Futures On The Shanghai And Shenzhen 300 Index Stock Market

Since 2010,the stock index futures had been launched in Chinese for seven years,the stock index futures had made great progress,in developing the country’s financial market plays an important role,the stock index futures what in order to avoid systemic risk,improve the stabilizer configuration and the stock market funds of listed transactions,in 2015 the stock market had a new round crash of Shanghai and Shenzhen’s stock market,the vast majority of stocks had experienced a sharp shock,the stock market is to re shuffle,while the stock index futures had become th the primary suspect,this problem also appeared in 1987,at that time the United States and the world had the stock crash,the trust of the stock index future almost gone forever.In recent years,whether the study of stock index futures is the primary culprit of stock market’s slump has become a hot topic.Volatility is the core of this research topic,volatility is the risk of the market,it is very important to study whether the futures play its own function.In this paper,the Shanghai and Shenzhen 300 stock index futures market and the Shanghai and Shenzhen 300 index market is the standard,using theoretical analysis and empirical analysis to study the correlation between volatility and the two price analysis method of organic combination,the sample space research on the fluctuation of part of the selection is from April 8,2005 to December31,2016 in Shanghai and Shenzhen 300 index daily closing price data.First,through the establishment of GARCH the model of the sample space is analyzed,and then the verification conclusion on the output EGARCH asymmetric GARCH model.In the sample interval period correlation is part of the selection is from April 16,2010 to December 31,2016 in Shanghai and Shenzhen 300 index closing price,as well as the Shanghai and Shenzhen 300 stock index futures contract for the day’s closing price,the stationary test,using the Granger causality test to illustrate the short-term relationship between futures and spot price,and then through the cointegration test and error correction test the long-term relationship between the two.The conclusions of this paper are as follows:(1)the volatility of the Shanghaiand Shenzhen 300 index futures market has been weakened after the formal trading of Shanghai and Shenzhen 300 stock index futures.(2)The limit trading of index futures has reduced the volatility of the spot market,but the effect was not significant,which is related to the research stage is in the stock market downturn,supervision,deleveraging and other factors.(3)In the short term and long term,there is a balanced relationship between the futures prices and the spot price in Shanghai and Shenzhen300 market,and in the long run,the futures market’s discovery ability of price more earlier than the spot market,futures market price is also ahead of the spot market.