The Testing Study Of CSI300 Futures In Price Discovery

Each well-developed capital markets can not work well without a sound system of financial products healthy and vibrant body of financing, the majority of rational investment groups and improvement of the market trading system. Stock index futures plays an important role in the financial product system, it is an essential component of the global financial markets. Because of having the advantage of feasible subjects, no restricting operation, low transaction costs and high efficiency of the transaction, etc., the stock index futures has already become the barometer which reflects the world's financial markets an macroeconomic tendency, the market information and investor trading emotion. It also has the function of price discovery, hedging and arbitrage etc.The founding of China's financial transactions has passed 5 years, and the exchanges has been actively preparing for the listing of stock index futures. In October 2006,it launched the Shanghai and Shenzhen 300 stock index futures trading simulation, in the healthy operation of more than 3 years later, in April 2010, it has introduced the true stock index futures . The introduction of stock index futures is an milestone that mark the China's capital market became mature. Stock index futures price discovery, hedging, arbitrage play the role of such transactions to meet the needs of those who want to avoid systemic risk and improve capital efficiency, it greatly enhanced the vitality of our capital market.The role of stock index futures price discovery is the basis of its other functions to play, precisely because the market index stock index futures is the future unbiased estimate of the spot, investors use stock index futures for hedging and arbitrage becomes possible. In this paper, selected about 1 year listing in Shanghai and Shenzhen 300 stock index futures data, the use of theoretical and empirical analysis, from the stock index futures and index relations between the leading and lagging stock index futures price discovery process in the leading role of the two aspects of China's stock index futures market price discovery role of the research. This article first briefly introduces the development of China's stock index futures, followed by analysis of its focus on the role of the theoretical basis of price discovery, then use the empirical model of price discovery role of its in depth research. In particular, the use of EG two-step method and Johansen cointegration tests found between the futures market and spot market with long-term stability, using Granger causality test showed that the spot market price change is the cause of the futures market price changes using the ECM model of interaction that the two markets, spot prices on the futures price has a positive guiding role, which proves the change in the spot market leading the futures market. Pulse response function and then find that stock index futures short-term impact on the smaller, but more stable long-term effects, and stock index futures short-term impact on the index higher, but in the long run, and no significant effect. Found using the variance decomposition model, the spot market price discovery process in the leading role, Shanghai and Shenzhen 300 stock index futures price discovery role and did not significantly reflected. Finally, this study combines the results of the role of stock index futures than the spot market price discovery analyzes the causes of the weak, mainly due to lack of liquidity of the futures market, traders single structure, the stock market transactions and market information system is imperfect, and other reasons not fully reflect the due. Can be expected that, along with China's capital market gradually increase the proportion of direct financing, stock index futures market trading system will gradually improve, capital market products will become increasingly rich, the advantage of China's stock index futures market will become increasingly apparent, the price discovery role will be reflected.