  A TGARCH modeling is argued to be the optimal basis for investigating the
impact of index futures trading on spot price variability. We discuss the
CSI-300 index (China-Shanghai-Shenzhen-300-Stock Index) as a test case. The
results prove that the introduction of CSI-300 index futures (CSI-300-IF)
trading significantly reduces the volatility in the corresponding spot market.
It is also found that there is a stationary equilibrium relationship between
the CSI-300 spot and CCSI-300-IF markets. A bidirectional Granger causality is
also detected. ''Finally'', it is deduced that spot prices are predicted with
greater accuracy over a 3 or 4 lag day time span.
