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Using the measurement method to study the fluctuation of RMB exchange rate will have a series of profound effects on stock index futures. This paper will take the Shanghai and Shenzhen 300 stock index futures as the example. In this paper, the author will establish a threevariable VAR model: US dollar, Euro, and Japanese yen exchange rate against RMB to analyze the impact of RMB exchange rate fluctuations on stock index futures. The empirical test shows that after the "811" exchange rate reform, there is no long-term stable cointegration relationship between RMB exchange rate changes and stock index futures. According to the results of impulse response function analysis, there is linkage between China's exchange rate fluctuations and Shanghai and Shenzhen 300 stock index futures price. From the current point of view, the impact is still very limited. Keywords—VAR model; stock index futures; cointegration relationship

An Empirical Analysis on the Impact of RMB Exchange Rate Fluctuation on Stock Index Futures Taking Shanghai and Shenzhen 300 Stock Indexes as an Example