For China's Stock Index Futures Price Discovery Function Of Empirical Analysis

April 16,2010, China's first four Index Future contracts have been listed for trading in the stock exchange. By then, the stock index futures in China already have more than 8 years of deliberation and 4 years of solid preparation. The official listing of stock index futures is another milestone in China's capital market.Stock index futures is the fastest growing and effective risk management tool around the current world, it will significantly develop China's financial market. Therefore, the focus on the stock index futures after its formal establishment in China is particularly important, of which the "price discovery" function need to study continually. Price discovery function is the existence and development basis for the futures markets, but also plays a role-the premise for the hedging function of the futures market. On this situation, this study identified the stock index futures market as the research object, focusing on its price discovery function performance still in an infant stage. And compare the performance to the similar foreign financial derivatives, make objective evaluation to this fundamental function-price discovery of index futures in China from a quantitative angle.This paper applies a variety of econometric models, noting refer to the international popular related methods, like unit root test, co-integration, error correction model, Granger causality test, cross correlation and Autoregression model, research the Stock Index Futures operational status within six months from its official listing on stock exchange. The data are 1 minute transaction data, collected from 6 April 2010 to 10 December 2010. This paper means to dig the research object-Index Futures Price-Discovery function, and to dissect its operational laws from multiple perspectives.The results showed that:The infancy of the Chinese stock index futures market is efficient, its "price discovery" function has been played. Stock index futures and the underlying index data co-integrated; short-term fluctuations will be adjusted to the balance; In general, stock index futures is the Granger cause of the stock index futures with the former led the trend in the "lead-lag" relationship; but a few cases, as market expectation is quite uncertain, and else, stock index also showed significant lead effect; and the "lead-lag " relationship are about 1-3 Minutes lag, especially 1 minute time delay effect is most obvious; on this basis, modeling the stock index futures and the stock index, there are VAR (8) form autoregression model well fit the data, parameter estimates again confirms the above conclusions.