Research On The Price Discovery Function Among The CSI 300 Stock Index Options,Futures And Stock Markets

Since the 1970s,with the gradual collapse of the fixed exchange rate system in countries around the world,financial innovation has continued to develop in the world ' s major financial markets.The financial derivatives market has quickly become the most active and most active international financial market in the past few decades.One of the eye-catching markets.In order to catch up with and lead the wave of world financial innovation and development,it is necessary to conduct in-depth research on the development status of the financial derivatives market.The price discovery function is the foundation of the operation and development of the financial derivatives market.In-depth study of the market price discovery function is helpful to understand the development status of the financial derivatives market.In our country,the CSI 300 derivatives market is entering a stage of rapid expansion,and its impact on our country ' s capital market is deepening.Therefore,this article selects CSI 300 stock index options,CSI 300 stock index futures,and CSI 300 stock markets as the research objects.Use nonlinear methods to study three market price discovery functions.The existing literature on price discovery functions mostly use linear methods,and fewer scholars use nonlinear methods.Since stock index futures,stock index options and spot markets are likely to have a nonlinear Granger relationship,linear testing may lead to conclusions.Inaccurate and incomplete.In addition,in the past,the research objects in the literature were mainly spot and futures markets,and there were few studies on the CSI 300 stock index option price discovery function.Therefore,the research in this article can help enrich the existing research objects,and the nonlinear test model used can help Enriching the existing research path,the conclusions obtained will help to provide a reference for the development direction of our country's emerging financial derivatives market,which has theoretical and practical significance.This article selects the 5-minute transaction data of the CSI 300 stock index options market,the CSI 300 stock index futures market,and the CSI 300 stock market from December 23,2019 to December 23,2020 as the research samples,and discovers around the three market prices The empirical research of the function is carried out.The main contents of this article are as follows: First,the realization process of the price discovery function between the stock index futures market and the stock market,the stock index option market and the stock market,the stock index futures market and the stock index option market,and the influence on the price discovery function are sorted out.Based on the factors related to strength and weakness,the research hypothesis is put forward;secondly,the implied price of the CSI 300 stock index options is measured through the call-put option pricing model;again,the CSI 300 stock index options are calculated through linear and nonlinear Granger causality tests.Empirical analysis of the price discovery relationship between the CSI 300 stock index futures market and the CSI 300 stock market,the CSI 300 stock index options market and the CSI300 stock market,the CSI 300 stock index futures and the CSI 300 stock index options market;finally,this article Combine theoretical analysis and empirical conclusions,and put forward relevant policy recommendations.This article draws the following research conclusions:(1)From a linear point of view,the price discovery function of the CSI 300 stock index futures market and the CSI 300 stock index option market is stronger than that of the CSI 300 stock market;the price return rate of the CSI 300 stock index option market The sequence and the CSI 300 stock index futures market price return sequence are linear Granger causality with each other.(2)From a non-linear perspective,the CSI 300 stock index futures market has the strongest price discovery function,followed by the CSI 300 stock index options market,and the CSI 300 stock market is the third.The main innovations and contributions of this paper are embodied in: First,the research model.In the past,most literatures chose linear test models to study the price discovery function of the market.However,as the modern financial market continues to become more complex and diversified,the non-linear characteristic relationship between market variables has gradually become prominent.The traditional linear test model cannot consider such non-linear characteristic relationships.Therefore,this article chooses non-linear Granger causality test to reveal the price discovery relationship between markets.The second is the research object.Due to the short listing time of the CSI 300 stock index options,there are few related studies.This article selects the CSI 300 stock index options officially listed on December 23,2019 for research,which is a supplement to the existing research.