An Empirical Analysis of the Effects of the Stock Index Futures on the Spot Market Volatility of China

摘要

The paper studies the effects of the stock index futures on the spot market volatility of China, through GARCH model, using HS300 stock index futures and the HS300 index as the research object. The empirical results show that the HS300 stock index futures has weakened the spot market volatility in spite of its very small; In addition, the introduction of HS300 stock index futures accelerate the transmission of the spot market information, showing that stock index future develop the function of price discovery.