Analysis Of Influencing Factors Of The Volatility Of Stock Index Futures

Chinese stock index futures market was established in 2010,and in the past 10 years,the stock index futures market has improved a lot.The varieties of stock index futures becomes more,the co-movement between spot market and futures market and Chinese financial market becomes more mature.But Chinese stock index futures market is still in the growth period and the foundation is relatively weak.So when there is big news in the market,the stock index futures market has big impact and the volatility will be high.Thus,how to describe the volatility of Chinese stock index futures market accurately and to find the influencing factors of futures market’s volatility is very important and have important meanings to the asset pricing and risk management of stock index futures.In this paper,I use high frequency data and HAR model to describe the volatility of Chinese stock index futures market and analyze the influencing factors of the volatility of Chinese stock index futures market.And empirical evidence shows that the high frequency volatility of Chinese stock index futures market has the characteristics such as spikes,thick tail,nonnormality and long memory.And the volatility in spot market,the volume changes in stock index futures market and the long and short holdings changes will also influence the volatility of stock index futures market.Meanwhile in 2015,Chinese financing market faced a lot of impact and the government issued policies to stabilize domestic economy.These policies changed the running conditions of Chinese stock index futures market.Thus this paper will take 2015 as the boundary and analyze whether the effect degrees of the factors to the volatility of Chinese stock index futures market change before and after the issuance of those policies.And empirical evidence shows that after the issuance of those policies,the market short-term speculators has smaller impact on the volatility of the stock index futures market and the co-movement between spot and futures market becomes closer.