Will Stock Index Future Affect the Volatility of Stock Market

On 16th April 2010,the first batch of four stock index future contracts listed and traded in Shanghai and Shenzhen Stock Exchanges is formally listed in China's Financial Futures Exchange,which has filled in the blanks of thetwo-way tradingin China's stock markets.However,up till now,what effects have the introduction of stock index future produced on the volatility of the stock spot markets? This is still a question.By selecting the daily closing prices of 300 stock index futures in Shanghai and Shenzhen from April 8,2005 to February 23,2011 as the raw data,this paper adopts the method of the GRACH model to conduct an empirical study.The result shows that the introduction of the 300 stock index futures in Shanghai and Shenzhen stock markets has no significant impact on the volatility of stock market.This conclusion can help remove the accusations exerted to stock index futures.