Study On The Price Discovery Function Of Stock Index Futures

Since the introduction of stock index futures in China's market in 2010,it has become an important part of China's financial derivatives market.The futures market can carry out bull and bear operations,providing investors with a new type of hedging and investment tools.On the one hand,the introduction of stock index futures makes it profitable for financial investors when they are bearish on the market,increases their enthusiasm in market transactions.Secondly,the two-way trading mechanism of stock index futures allows investors to carry out arbitrage activities in the current market,so the market pricing becomes more reasonable,thus improving China's financial market.However,China's stock index futures market relatively immature,compared with foreign futures markets,still has not hit the ceiling.China's stock market has skyrocketed since January 2015,and the Shanghai stock exchange index has risen to 5178 points while the Shanghai stock index fell by nearly 40%.It was at this time that CICC launched the CSI 500 and SSE 50 stock index futures.Relevant experts and scholars pointed out that the launch of stock index futures had caused a huge shock in the stock market.After that the research on the relationship between the futures and spot market price guidance started immediately but there is no final conclusion.Based on the previous research,this article takes the three major stock index futures products in China as the study subjects,focusing on the differences in the price discovery function among the three major stock index futures products;According to the research results of many scholars,the method of dividing the sample interval is universally adopted indistinguishing between rising and falling market research,but this method of division has certain limitations.First,the artificial division of the sample interval requires the market to show large changes at this stage.Due to the large changes in the market during the 2015 stock market disaster in China's stock market,it is easy for scholars to divide,but it is difficult to divide up and down artificially during the stable operating of the market.Secondly,many scholars will divide different time nodes based on personal judgment when dividing up and down markets,which eventually leads to differences in research conclusions.In view of the above two limitations,this paper further introduces the quantile regression model to conduct a preliminary study on the price discovery function,and the use of mathematical models to divide can effectively avoid the limitations caused by artificially divided sample data.This article is divided into five chapters.The first chapter is an introduction of the research content and framework of this article,combing the research results of many scholars on this topic;The second chapter is an overview of stock index futures and China's stock index futures market development,mainly elaborating the basic concepts and functions of stock index futures,and briefly introducing the development history of the stock index futures market in China and in the world;Chapter 3 is the theoretical explanation of the function of stock index futures price discovery.The leading-lag relationship of the current market price,and the theory of the price discovery function;Chapter 4 is a comparative empirical analysis of the price discovery function of the three major stock index futures,considering the emergence of quantitative trading and high-frequency trading in the futures market and the availability of new trading methods and data.In this paper,15-minute high-frequency price data of stock index futures and stock markets are selected.Based on the vector error correction model,the permanent transient model is used to quantize the contribution of the price discovery function of each stock index futures market.the results show that the price discovery ability of CSI 50 and CSI 500 is relatively strong;finally,through the quantile regression model,the price discovery function of each stock index futures in different markets is studied,and it is found that the market has a drop-assistance effect on the stock market when the CSI500 are falling..Chapter 5 includes the research conclusion and policy recommendations based on the empirical analysis of this article and the futures market status quo,and practical and reasonable policy recommendations have been put forward.