Empirical study of China Stock Index Futures' Impact on Shanghai and Shenzhen 300 Index Volatility

摘要

On April 16th,2010,China launched the first stock index future targeted of Shanghai and Shenzhen 300 index.It is a very meaningful act to perfect our financial derivatives and promote the financial market.However,the academia and practice department still hold different opinions on whether the launch of the stock index futures will have a significant impact on the volatility of the targeted assets.The paper takes a volatility analysis before and after the introduction of the Shanghai and Shenzhen 300 index futures through GARCH model.The results shows that,while the introduction of the stock index futures has little effect on the stock market volatility,the investors can still,to a certain extent,make use of the new market information they convey.