The Impact of Stock Index Futures on Spot Market: Data Analysis of CSI 300

Abstract

In the financial market, spot and futures are two important trading products with a relationship. This paper analyzes the impact of the CSI 300 stock index futures contract on the actual market based on the index data before and after the contract’s launch. It selects the data from 2008 to 2024 as the sample and uses the method of combining GARCH and TGARCH models for empirical research. At the same time, this paper specifically selected the period of market recovery after the pandemic to conduct independent analysis, providing recommendations and directions for short-term sample studies in the long run. This research illustrates the CSI 300 futures contract has exacerbated the market volatility in the short run before and after its launch, but has a dampening effect on the volatility of the actual market at specific periods in the long term. The results also warn of the factors that should be taken into account when policy intervention is carried out.