Investigation Of Price Discovery Function Of Hushen 300 Stock Index Futures Market

This study employs cointegration method and vector autoregressive model with exogenous variables to investigate per-minute high-frequency data of Hushen 300 Index futures for nearly four months starting from April 16th,2010, the day it weht public. After controlling for the "index component stocks delaying effects" disturbance and "ask-bid spread effects" disturbance of stock index futures returns and stock index returns, we find that the changes of Hushen 300 Index futures prices lead the changes of Hushen 300 Index prices by 8 to 10 minutes, but the changes of Hushen 200 Index prices can disturb the changes of Hushen 300 Index futures prices, always lasting 5 minutes, sometimes reaching 15 minutes and occasionally exceeding 30 minu(?)es; while the changes of Hang Seng Index futures prices lead the changes of Hang Seng Index prices by approximately 17 minutes and the changes of Hang Seng Index prices have faint feedback to the changes of Hang Seng Index futures prices, normally lasting no more than 3 minutes.We conclude that Hushen 300 Index futures market has certain kind of function of price discovery, however, compared with the mature Hong Kong Hang Seng Index futures market, its price discovery function can be future complemented and enhanced. Moreover, this study shows Hushen 300 Index futures market has good effectiveness and maturity donesn't change significantly in the investigation period.