Empirical Analysis Of The Influence Of Stock Index Futures On Stock Index Volatility

Stock index futures is an important innovation in the field of modern financial derivatives,and it has become one of the most important financial instruments in the world capital market.China's stock index futures market has developed slowly,full of twists and turns.When the Shanghai and Shenzhen 300 index futures was listed in2010,it means that Chinese stock market has this new shorting mechanism.Then in order to adapt to the development of financial markets,in 2015,CICC also listed the Shanghai 50 index futures and csi 500 stock index futures,which means small and medium-sized market value of stock index futures can be shorted.Then the development of stock index futures in China is made further.But history is,the same year September,in the spot market,an abnormal fluctuations came suddenly.So CICC issued strict restrictions to limit the stock index futures trading,which had been launched freshly.Domestic stock index futures market has stalled.Stock index futures' inherent nature of the underlying determines its its advantanges in price discovery and price guide of the spot market.They also have avery close relationship with each other,to a certain extent,stock index futures trading affects the volatility of stock prices.This article analyzes this influence relations.In this article,we start from the basic concept,then summarizes the general situation of the development of stock index futures and the market function.And next,we analyses the theory of the volatility of the stock market.From the angle of theory,we also make a brief analysis about the price relationship between stock index and its futures,and influence in the market makes.Secondly,in the empirical part,this paper choose the CSI 300 index and the CSI500 index daily closing price data as the object to study the stock market index volatility by GARCH model;In addition,we select the IC500 closing price data in the trading day on the two spot market effect by VAR model.On the two index,we choose the closing data between 2012.4.16 to 2017.1.20,a total of 1163 trading days.And the IC 500 trading contracts each month in accordance with the main methods of 2015.4.16-2017.1.20 a total of 435 trading days' closing data.The first part is mainly using empirical GARCH model and asymmetric EGARCH model.we finally draw the conclusion: the first is that the IC500 has amplification effect on the spot market volatility,but the extent of this influence is very limited.The second point is after introduced the IC500,the efficiency of stock market information did not improve,on the contrary,fall.The third point is the yield of the stock market volatility has the leverage effect,at the same time to launch stock index futures has amplified the leverage effect.The second part analyzes the direction and extent of the fluctuation effect.By using the VAR model,we run the Granger test,Impulse Response,as well as the Variance Decomposition analysis.The conclusions are two index market are respectively have an Granger causal with IC500,and the two index in the market price of the impact of IC500 had a positive response,and the CSI 500 index ratio HS300 index by greater impact,but overall IC500 had little influence on two index.Finally,according to the empirical analysis,we draw lessons from the experience of the developed countries' futures market,and put forward some suggestions for the development and improvement of China's stock index futures.