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中文摘要：
为研究股指期货推出对现货市场质量的影响，基于沪深300指数收益及成分股数据分别从日内信息结构、羊群行为及风险异化三个方面展开分析。实证结果表明：股指期货推出对现货市场日内信息结构存在显著影响，有助于降低日内波动及缓解上午、隔夜信息的“助涨助跌”性，改善现货市场质量。股指期货推出前后，现货市场均存在羊群行为，且在推出后该效应有所增强。sV类模型所测波动率序列波动持续性较OARCH类模型低，波动状态较为稳定；股指期货的推出总体上削弱了现货市场的波动。
英文摘要：
In order to study the impacts of introducing stock index futures on spot market, we conduct a research from the intradayinformation structure, herding behavior and risk change in three aspects based on the CSI 300 index logarithm yield and componentdata. The empirical results show that the stock index futures have significant impacts on intraday information structure of spotmarket, which help reduce the intraday volatility and ease the ＂help up to down＂ effect of morning and overnight information. Theherding behavior exists before and after its launching, and even enhances after its launching. The volatility sustainability measuredby SV class model is lower when it measured by GARCH model, and the volatility stage is stable. As a whole, introducing stockindex futures weaken the fluctuations in spot market.
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