关键词: 投资者结构, 股指期货, 中国股票市场, 波动性

Abstract: The introduction of stock index futures trading may prompt changes of investor structure and their trading behaviors, thus having an effect on stock market volatility. Since the official launch of the CSI 300 stock index futures trading on April 16, 2010, the surge and crash phenomenon in China's stock market has not been significantly improved intuitively and there has been controversy over whether stock index futures trading will increase or reduce the volatility of the stock market. Therefore, the study on the influence of stock index futures trading and investor structure on stock market volatility has important theoretical and practical significance for clarifying the role of stock index futures trading on the stability of China's stock market, optimizing the investor structure, improving the trading system of the stock index futures and ensuring Chinese stock market to develop healthily and steadily. First, a mathematical model is established to theoretically study the effect mechanisms of the stock index futures trading and investor structure on the stock market volatility based on the behavioral characteristics of various investors in stock and future markets. The following theoretical research results are obtained. In the presence of stock index futures trading in stock market, the stock market price volatility will decrease with the increase of the proportion of arbitragers, and increase with the increase in the proportion of speculative traders and in their speculation. When institutional investors hold more market share than individual investors, the stock market volatility would decrease with the increase in the institutional investors' market share. When the market share of institutional investors is more than individual investors and speculators are more speculative, or the market shares of institutional investors is more than individual investors but does not exceed a certain threshold and speculators are less speculative, the stock market price volatility is negatively correlated with the proportion of general institutional investors.When the market share of institutional investors is more than individual investors and exceeds a certain threshold and speculators are less speculative, stock market price volatility is positively correlated with the proportion of general institutional investors.When institutional investors have less than 50% market share, the impact of the proportion of institutional investors and general institutional investors on stock market volatility depends on the unanticipated changes in the macro economy, the capacity level of investor, the proportion of general institutional investors and arbitrager, the margin ratio of spot and futures trading, the speculative strength of speculator and many other factors, and there are many uncertainties.Then the volatility changes of the China's stock market before and after the launch of the CSI 300 stock index futures are theoretically forecasted based on the theoretical model results and the changes in the structure of investors in the Chinese stock market. And taking the CSI 300 index and investor structure data from January 4, 2007 to April 5, 2016 as samples, the GARCH model is used to empirically test the theoretical prediction results. The empirical research results show that after the launch of the CSI 300 stock index futures trading, the volatility of the Chinese stock market would be negatively related to the market share of institutional investors, and the launch of CSI 300 stock index futures significantly reduced the volatility of the China's stock market. The increase in the proportion of institutional investors will strengthen the weakening effect of CSI 300 stock index futures trading on the volatility of China's stock market. These empirical results prove the validity of the theoretical model and its prediction results empirically.The research results of this paper provide theoretical and empirical evidence for the inhibitory effect of stock index futures trading on the Chinese stock market volatility based on the investor structure and investors' trading behavior characteristics, and clearly answer the question of whether the volatility of China's stock market has increased or decreased after the introduction of stock index futures, and negates some investors' intuitive feeling and idea that stock index futures trading will increase the volatility of China's stock market, and provide theoretical and practical guidance for China's development and improvement of the stock index futures market. China's securities regulators should vigorously develop stock index futures products and increase financial risk management tools, strengthen the cultivation of institutional investors from both quantitative and qualitative aspects and improve the ability of institutional investors to use stock index futures trading for hedging and risk management, and improve the stock index futures trading system and curb speculative traders' speculative behavior to strengthen the role of stock index futures trading in stabilizing the stock market.

Key words: investor structure, stock index future, Chinese stock market, volatility