An Empirical Analysis Of The Impact Of China's Stock Index Futures On Spot Market Price Volatility

The introduction of stock index futures has made China's investment market more diversified,providing investors with more choices for diversified investments.With the launch of stock index futures in China,whether there is a link between stock index futures prices and stock prices has always been a hot topic in the academic community.Studying the effect of stock index futures on the price volatility of the spot market can enable investors to more thoroughly understand the linkage relationship between the two markets,and can provide a reference for investors to forecast the price trend of the spot market through the price trend of the futures market.Good to perfect the price discovery function of the stock market.In order to explore whether the stock index futures price is related to the spot price,the article selected the daily closing price data of the Shanghai-Shenzhen 300 stock index futures and spot from April 16,2010 to April 16,2017 as research samples,using the cointegration relationship.The test and Granger causality test method analyzes the logarithmic sequence of the daily closing price of futures and spot prices.The results show that the change of the Shanghai and Shenzhen 300 stock index futures and spot closing prices has a long-term and stable relationship,and they are mutual Granger reasons that cause each other to change.In order to explore whether the volatility of the spot market price is affected by the launch of the stock index futures and how the impact mechanism is,this paper conducts empirical research from both short-term and long-term perspectives,and uses the volatility of the logarithmic return rate to reflect the degree of impact.In view of the fact that China's Shanghai-Shenzhen 300 stock market futures were launched on April 16,2010,the short-term data of the article selected the spot closing price of the Shanghai and Shenzhen 300 Index for three months before and after April 16,2010 as the research object,that is,2010.January 16th-July 16th,2010;At the same time,the stock closing price of the Shanghai and Shenzhen 300 Index on January 16,2011-July 16,2011 was selected as a reference sample for the study.The long-term sample of the article research is based on the two-year time interval before and after April 16,2010,and selects the CSI 300 spot closing price data for April 16th,April 16th,2012,and April 2013.On the 16th-April 16th,2017,the closing price data was used as a reference sample.The empirical results show that the introduction of stock index futures did not have a significant impact on the fluctuation of the spot market price during the longer research period.