An Empirical Study On The Functional Efficiency Of CSI 300 Stock Index Futures

China started trading the CSI300 Index from April 16,2010.Nowadays,it has been a significant part of China' s financial derivatives.On the one hand,it can be operated both in long and short sales so that investors can avoid risks of portfolio losses(systematic risks)caused by the fall in the whole stock market.On the other hand,it is one of the few short-selling privatives in China' s financial market.Investors can use it to arbitrage so as to make HS stock market price more rational and greatly active the financial market.All the above can be concluded two functions of Stock Index Futures which are price discovery and hedging.Although it has increased the whole liquidity of the financial market and improved the engagement of investors,there are still some gaps between China and developed countries in view of short period of the development.In 2015,large-caps surged by the highest record of 5,178 points influenced by small-caps from January,but nosedived form June to August with 40%fall of the Shanghai Composite Index.Then,the confidence slowly recovered and the stock market began to be stabilized.Accordingly,we should concern that what kind of result will be through the two functions of Stock Index Futures.In other words,since the efficiency of the futures and spot hedging of the CSI300 Index all the year round is an important measurement,we should pay attention to whether the price discovery of futures to spot will function in extreme situations.In the light of the study of this paper,futures has price discovery both in normal and extreme situations.Furthermore,futures hedging rates are more remarkable in the OLS model.