Abstract: The impact of CSI 300 index futures on the volatility of cash market is examined in this paper by using jump diffusion stochastic volatility models. The parameters are estimated in terms of MCMC method, the volatility and jump features of cash market before index futures is listed are compared with those of cash market after index futures, and are also compared with that of futures market. It is found that index futures do have stabilizing effect for cash market, but it mainly happens in continuous part of index volatility. Continuous volatility of index accelerates its mean reversion speed with the decreasing trend, and the leverage effect of index begins to appear with the time evolving although there is no leverage effect at the beginning. The proportion for jump volatility of index is high, but jump size and jump proportion appears to be decreasing.

Key words: CSI 300 stock index futures, continuous volatility, jump volatility, MCMC method