Abstract
April 16, 2010, China’s first four Index Future contracts have been listed for trading in the stock exchange. Stock index futures are the world's fastest growing financial derivative products currently, and the research of them is of significance to the development of China's financial market. Therefore, it is particularly important to concern the market operation status of stock index future after its official listed. As we all know that there are linkage effects of the futures and spot, stock index futures market will have some impact on the spot market. Based on the above point, this study identified the Shanghai and Shenzhen 300 stock index futures market as the research object, focusing on what volatility affects the stock index futures have made on the spot market over the past 3 years. Through empirical findings, we can evaluate the operation conditions of stock index futures market objectively. This paper applies GARCH model mainly, and introduce dummy variables, collecting daily trading data between 16 April 2007 and 16 April 2013 on the spot market, and studies the impact of volatility on the spot market in-depth by empirical test. The results showed that over the past 3 years, introduction of stock index futures has reduced the volatility of the spot market which has brought a positive impact.
Highlights
Stock index futures, which are based on prior agreement between buyers and sellers, trade at a particular time in the future, in accordance with the prior agreement of both parties to engage in stock index trading shares of a standardized protocol agreement
Domestic scholars Tian-cai Xing and Ge Zhang[3] based on FTSE Xinhua A50 index futures, through the establishment of GARCH model, analyzes its launch on the CSI 300 stock index, the results found that the introduction of stock index futures slightly increases the volatility of the spot market, but this impact is very small
This article studies the impact of the introduction of stock index futures on the volatility in the spot market by establishing GARCH (1,1) model, and the introduction of dummy variables, and found the stock index futures has a slight decrease on the volatility of spot market volatility
Summary
Stock index futures, which are based on prior agreement between buyers and sellers, trade at a particular time in the future, in accordance with the prior agreement of both parties to engage in stock index trading shares of a standardized protocol agreement. Domestic scholars Tian-cai Xing and Ge Zhang[3] based on FTSE Xinhua A50 index futures, through the establishment of GARCH model, analyzes its launch on the CSI 300 stock index, the results found that the introduction of stock index futures slightly increases the volatility of the spot market, but this impact is very small. In 2010, they selected the CSI 300 index futures trading simulation data, through the establishment of GARCH model to test residual ARCH effects, etc., confirmed the launch of stock index futures on the volatility of the spot market is not greater impact. This paper by choosing real transaction data were established before and after the introduction of index futures GARCH model, and the introduction of dummy variables, a series of empirical tests to explore CSI 300 stock index futures on the impact of volatility in the spot market, with certain practical significance
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