Research On Price Discovery Function Of Stock Index Futures

The HS300 Stock Index Futures has been launched for one year, which is stable and active. It provides a new invest tool which can either transfer risk or make a profit. The successful launch of stock index futures has improved not only the capital market but also its efficiency.The Stock Index Futures has the two most important functions, hedging and price discovery function. Price discovery function of stock index futures is that it can form an authoritative, predictable price by gathering a lot of information, participants and elements. It can not only reflect the future price of stock market, but also can stabilize market prices and promote the prosperity and development of the stock market.The HS300 stock index futures since its launch, the price discovery function of the role of the situation, leading the market price of the stock index futures market, or market price of stock index futures lead the stock market, this proposition has important research value and practical significance.The paper is based on the relationship of the stock market and HS300 stock index futures market, selecting the 5-minute high-frequency data as a research object, using the Granger test, Vector Error Correction model, Generalized impulse response model, Variance decomposition methods to make theoretical analysis and empirical analysis. The paper found that the HS300 Index futures market has a little obvious price discovery function and play a role on elimination of arbitrage opportunities. Finally, the paper puts forward some policy recommendations.