The Research On The Price Discovery Function Of CSI 300 Stock Index Futuresand CSI 300 ETF

Comparing with the western developed countries stock index futures market and ETF market started relatively late in China. The development of the two markets is not mature enough. It would estimate whether the two markets can operate effectively or not according to the research on price discovery function of stock index futures and ETF. Thus it has the practical significance.This paper makes an empirical analysis on the price discovery function among CSI 300 stock index futures, CSI 300 ETF and CSI 300 index, which is able to determine whether the two markets can perform the price discovery function fully or not. And it can estimate whether the two markets can operate effectively or not. Then the measures for perfecting the two markets are put forward.Firstly, the research literature at home and abroad is organized. The development and relevant concepts of stock index futures and ETF are described. Then the meaning and the causes of price discovery function are concluded.Secondly, the paper makes the descriptive statistic analysis and the detailed description about research data. The measurement model and research methods are presented in detail to lay a foundation for the empirical analysis, such as VECM, the Granger causal relationship test, the variance decomposition and so on.Thirdly, with the econometric method the empirical analysis is made for the strength relationship of price discovery function among HS300 Index Futures, HS300 ETF and HS300 Index with intraday data and interday data. For the intraday data, there is a unidirectional relationship of price discovery among them and futures perform the stronger price discovery function than spots. For the 5-minute data, there is a bidirectional relationship of price discovery among them and spots perform the stronger price discovery function than futures.Finally, the comparative analysis and the reason analysis are presented baced on the results of the empirical analysis. This paper presents the idea that stock index futures only perform the strong price discovery function with the intraday data and ETF can’t perform the stronger price discovery than index spots. The results show that the two markets can’t perform the price discovery function fully. And the constraints for the function of price-discovery of the markets are analyzed. Then the measures for perfecting the two markets are put forward.