Empirical Research On The Price Discovery Function Of China Stock Index Futures

On April 16,2010,the CSI 300 Index Futures contracts were traded in China Financial Futures Exchange formally,and this is the process of the landmark step in financial derivatives market and even the entire capital market in China.On April 16,2015,both the Shanghai 50 Index Futures contracts and the CSI 500 Index Futures contracts were traded officially in the China Financial Futures Exchange meanwhile,a move that not only meets the demand of investors increasing risk management,but also promotes the development of blue-chip market and medium-small sized stock market.Since stock index futures contracts listed,the stock index futures trading has become increasingly active,the scale of the transaction was expanding,and its position in the capital market is becoming more and more significant.In the process of stock index futures development,researches on price discovery function of stock index futures are increasingly rich.But stock index futures market in China started late,the research on price discovery function of the stock index futures in China was relatively lack,so it is pretty important and necessary to discuss the price discovery function of China stock index futures on the spot.Firstly this paper introduces the theory study of the stock index futures price discovery function and the specific situation of the stock index futures market in China.Then it takes the empirical research about China stock index futures price discovery function,including the CSI 300 Index Futures,the Shanghai 50 Index Futures and the CSI 500 Index Futures price discovery function of the spot.The paper collects the trading data of three groups of stock index futures,which is a minute high-frequency data in 19 trading days from March 22 to April 15,2016.Then the research proves that the stock index futures has concrete price discovery function on the spot in our country through the Cointegration Test,Granger Causality test,Vector Error Correction Model(VECM),Impulse response and Variance decomposition analysis and the Information-Shared model(I-S model).And at last it takes the Cross-Correlation analysis to calculate the price discovery function of China stock index futures on the spot.It also says that there is a price guide of price leading roughly 1-3 minutes.Finally it comes to the conclusion based on the empirical results and puts forward the investment and policy suggestions.