| In the 1970s,the American economy deteriorated sharply and the stock market was miserable.In order to avoid market risks,people turned to the futures market.In 1982,Kansas City Futures Exchange took the lead in launching value line index futures,which promoted the great integration of futures market and stock market.Subsequently,new stock index futures products are emerging in the financial markets.In 2010,the CSI 300 stock index futures were listed by China Financial Futures Exchange.As the first stock index futures in China,it attracted wide attention once it was launched.In 2015,China launched two other stock index futures,making the broad market,small and medium stocks can all be covered,marking the further improvement of China’s stock index futures system.The two-way trading mechanism of stock index futures has changed the one-way trading situation of stock spot market,balanced the long and short forces in the market,and it can help investors to avoid risks reasonably.In addition,scholars and the industry generally believe that stock index futures,as a risk management tool,can reduce the volatility of the stock spot market,restrain the positive feedback trading behavior of the stock market effectively,so as to maintain the smooth operation of the financial market.However,the occurrence of the stock market crash in 2015 and the research results of some other scholars make some people hold the opposite opinion:they believe that the shorting mechanism of stock index futures intensifies the positive feedback trading behavior in the stock market,increases the stock price volatility in the spot market,and is the main culprit leading to the sharp decline of securities prices.It is necessary to further study whether stock index futures can restrain the positive feedback trading behavior of stock market in China.Firstly,this paper reviews the related research of domestic and foreign scholars,and then selects the CSI 300 stock index futures as the research object.ARMA-GARCH model is used to conduct empirical analysis on the daily return series of the CSI 300 index.Empirical tests are carried out on the launch stage,control stage,unbinding stage and full-sample stage of the CSI 300 stock index futures respectively.In the empirical process,Eviews 10.0 software is used for analysis,and the influence effect of stock index futures on positive feedback trading behavior of spot market is obtained.Then,The ARMA-EGARCH model is established to explore the influence of stock index futures on the asymmetry of stock market.The empirical results show that the volatility of the spot market is reduced after the CSI 300 index futures launched,effectively inhibit the positive feedback trading on the stock market behavior,and the CSI 300 index futures after launch,the asymmetry of the stock market is no longer significant,it proved that the stock index futures is not the culprit of abnormal fluctuations in the stock market in 2015.Compared with the financial markets of developed countries where financial derivatives have been greatly developed,China still needs to constantly improve the development of financial derivatives trading market and gradually form a stable bilateral market,so as to ensure the healthy and stable development of the two markets.Therefore,in the end,this paper gives four suggestions based on the empirical analysis results,aiming at strengthening the construction of China’s stock spot market and stock index futures market,and maintaining the healthy development of market operation. |
