The Csi 300 Index Futures Price Discovery Function Of Empirical Research

April16,2010, China’s first four index future contracts have been listed for trading in the stock exchange. By then, the stock index futures in China already have more than8years of deliberation and4years of solid preparation. The official listing of stock index futures is another milestone in China’s capital market.Stock index futures is the fastest growing and effective risk management tool around the current world, it will significantly develop China’s financial market. Therefore, the focus on the stock index futures after its formal establishment in China is particularly important, of which the "price discover" function need to study continually. Price discovery function is the existence and development basis for the futures markets, but also plays a role-the premise for the hedging function of the futures market. On this situation, this study identified HS300stock index futures market as the research object, focusing on its price discovery function performance still in an infant stage. And compare the performance to the similar foreign financial derivatives, make objective evaluation to this fundamental function-price discovery of index futures in China from a quantitative angle.This paper applies a variety of econometric models, like unit root test, co-integration, error correction model, Granger causality test, cross correlation, impulse response and variance decomposition, research HS300stock index futures operational status within one months from its official listing on stock exchange. The data are1minute transaction data, collected from1November2011to30November2011. The results showed that:The infancy of HS300stock index futures market is efficient, its "price discover" function has been played. Stock index futures and the underlying index data co-integrated; short-term fluctuations will be adjusted to the balance; stock index futures is the Granger cause of the stock index futures with the former led the trend in the "lead-lag" relationship; and the "lead-lag" relationship are about1-3Minutes lag, but the spot market still makes the main contributions to the price fluctuations, and plays an important role in the price discovery. So it is necessary to further perfect the stock index futures market, give full play to its "price discover" function, so as to improve the capital market efficiency.