A Comparative Study On The Price Discovery Function Of The Three Major Stock Index Futures In

On September 8, 2006, China Financial Futures Exchange was inaugurated in Shanghai, which laid a foundation for China’s financial derivatives market. After nearly four years of efforts, CSI 300 index futures listed trading in April 16, 2010 formally, thus China’s a-share market ushered in A new era of two-way. Temporize and after five years, on April 16, 2015, China Financial Futures Exchange launched by the Shanghai 50 index futures and CSI 500 index futures. China’s stock index futures market increasingly rich rise.Stock index futures price discovery function has always been closely watched,and scholars has also done a lot of research on this aspect both at home and abroad.However, at present, the comparative study of price discovery ability between China’s three big stock index futures has not so much. in the early time that SH 50 index futures and CSI 500 index futures listed, the writer of this article wants use the data of days, minutes, take the method of mistake data and synchronize data, study the logical relationship and price discovery ability between the stock index futures and spot prices, in order to find out and compare the difference and reason of price discovery function between the three major stock index futures.Under the background of China’s stock market crash in 2015, I want to study the spot price discovery function of the three major stock index futures that China Financial Futures Exchange has launched through the theory and method. This chapter mainly divides into two parts:the first part, using daily data, under the background of three major stock index when their prices rise and fall, I will study the price discovery function in each index period and the relationship between the three major stock index futures; The second part, using minutes data, selecting a contract of each stock index futures at the same time, in eight days, I will study the lead lag relation with stock index futures to research the spot price discovery function and influence between each other.In this paper, the conclusions are as follows:1, Three futures bases and the corresponding spot index has a long-term stable equilibrium of the dynamic relationship, and the CSI 300 index futures has a more stable and significant relation with the spot index than that of the SH 50 index futures and CSI 500 index futures who newly listed in2015;2,Three futures bases can affect the change of the corresponding spot index, CSI300 index futures, SH 50 index futures, CSI 500 index futures plunge ahead of the corresponding spot index 6 trading days, 5 trading days, 9 trading days;3, In the 8 trading days before the relevant policy introduced, the price of IF1509, IH1509, IC1509 has Granger causality relationship with the corresponding spot index and influence each other, futures prices plunge ahead of the spot price 2-3minutes;4,Under the High frequency data in of 1 minute, the contribution of stock index futures market is dominant in price discovery, the price discovery contribution of three major futures is difference. CSI 300 index futures has much higher sensitivity and contribution of the information than the SH 50 index futures and CSI 500 index futures;5, According to the impulse response and VECM model, investors can determine the relationship between the specific market movements and make the right investment strategy according to the period between the spot markets.