The Research On The Price Discovery Function Of Csi300Index Futures

A mature capital market is composed of the lifeful investors, perfect financial products system and strict market system. China’s capital market has a long way to go to become a mature capital markets. The capital market of our country is a unilateral market. Our stock market has not yet introduced a mechanism short, it cannot resist the system risk. In the face of such situation, stock-index futures is the inevitable choice.Stock index futures is a kind of financial futures, it’s based on the stock price index of the asset of mark. It’s a new financial derivative product from the stock market and the combination of the futures market. Stock index futures contract is a standardized futures contract, its underlying asset is a stock price index designated by the exchange.The stock market risk is divided into two categories:the unsystematic risk and system risk. The unsystematic riak can be diverted by the way of portfolio, but the systemic risk cannot. The systemic risk can be transferred by the stock index futures.Stock index future has price discovery function, hedging function, speculation function, arbitrage function, asset allocation function and so on. The price discovery function is the basis of all other functions. So it’s very important that the statement "stock index futures has the price discovery function" is true or not.The contents of this paper are divided into five parts. The first part of this paper introduces some related definitions. The second section describes the history and the development of the stock index futures. The third part introduces the measurement models and testing methods will be used in my paper. The fourth part is the positive analysis, it’s the most important part of the paper. The empirical analysis will use Unit root test, cointegration test, error correction model and Granger causality test. The last part is analyzing the results of the fourth part combined with the actual conditions of our country.