Research On The Influence Of Chinese Stock Index Futures On The Volatility Of Stock Spot Market Based On GARCH Model

In 1982,the first stock index futures were born in the United States.Due to its special risk aversion function,more and more capital markets have joined the ranks.In order to meet the requirements of economic development and to accelerate the development of the domestic financial market,some countries have successively launched stock index futures varieties that are suitable for the domestic market.China is no exception.Unfortunately,China’s stock index futures were born relatively late.This is related to the state in which China is in a developing country,and every aspect is immature.On April 16,2010,the Shanghai and Shenzhen 300 stock index futures became the first variety of China’s stock index futures.The community has paid special attention to this,and the emergence of futures varieties has provided new perspectives and ways for economists to study the spot market.After a series of research directions,scholars began to pay attention to the functions of price discovery,hedging,risk avoidance,and the linkage and volatility of the futures market and the spot market,and conducted in-depth research on these aspects.With the rapid development of the economy,China has launched new stock index futures products.The enrichment of new futures varieties has introduced large-cap stocks and small-cap stocks,which has expanded the investor’s investment range and promoted the healthy development of China’s stock index futures products.After the emergence of stock index futures,China’s financial market has developed rapidly.Many domestic and foreign scholars look at the research objects in the stock index futures,and analyze them from the theoretical and empirical aspects.Some economists believe that the introduction of stock index futures has a non-negligible impact on the volatility of the spot market.Therefore,scholars began to argue against it.However,in the academic world,scholars have not reached an agreement on this issue.Summarizing the results of previous studies,there are three views of scholars on this issue: increase,decrease,and no impact.In the previous research results,this paper summarizes and classifies the previous research results,and then introduces the relevant theories,which provides a theoretical basis for the following empirical research.Takingthe Shanghai and Shenzhen 300 stock indexes as an example,this paper selects the closing price as the research sample.After some basic tests such as stationarity test,descriptive statistics and cointegration test,GARCH model and EGARCH model were established for empirical research.The research results show that the introduction of Shanghai and Shenzhen stock index futures has increased the volatility of the spot market.Finally,based on the research results,this paper puts forward relevant suggestions for the sustainable development of financial markets.