The Research On The Price Discovery Function Of Shanghai And Shenzhen 300 SIF

Stock index future is an agreement between two parties to buy or sell a stock index at a certain time in the future at a certain price. Stock Index Future is the product of a highly developed modern capital market,in the background of global economy integration,internationalization and liberalization.Up to now,the trade volume of stock index future has taken up four-fifth of the total futures trade volume in the world.This is why it's called the greatest innovative financial product. After dequate theoretical preparation and experiment,China officially listed Shanghai and Shenzhen 300 SIF in April 16,2010.Price discovery is the process of authenticity, predictability, continuity and authority price in the futures market through open, fair, efficient and competitive futures trading operation mechanism."Price Discovery"is one of the main functions of Stock index futures..It is essential to the futures market as it is both the basis of the futures market and the premise to hedging in the futures market. So It has particularly important significance to the futures market. Therefore,this article makes use of the Granger Causality Tests for analyzing Shanghai and Shenzhen 300 SIF in order to check out the lead-lag relations between the futures and the spot.According to whether the Stock Index Future possesses the"Price Discover"function,Test results show that price discovery function of Shanghai and Shenzhen 300 stock index futures initially appeared in the study time frame using the frequency of 5 minutes data. In this paper, the author use the principle mechanism, Market reaction,methods of operation, market capacity and other four causes to explain the conclusion.