Empirical Study On The Price Discovery Function Of Stock Index Futures

Stock index futures is a financial futures, which is based on stock index. To meet the demand of risk management in the spot market, stock index futures appeared in 1982.Although only a short period of 20 years, the stock index futures showed strong vitality and pushed the development of financial futures markets to new heights. With the stock index futures markets improving and maturing constantly, its positive functions become more evident and many emerging market countries have also set up stock index futures. In September 8, 2006, CFFEX (China Financial Futures Exchange Co., Ltd.) was set up in shanghai. And it issued the CSI 300 Index Futures. In October 30, the mock trading began. This paper focuses on the mock trading and makes the empirical analysis on the trading data.Price discovery function of stock index futures has been an important research topic. It has a significant meaning both in theory and practice for studying the mutual relationship between the stock index futures market and spot market, combining with the market situations. In theory, it can test the efficiency of capital market, comparing the speed of responsing to new information between the stock index futures market and spot market, describing the dynamic relationship of the two markets quantitatively and determining whether there is a one-way or two-way causality between them. In practice, investors can judge the trend of spot market according to the trend of stock index futures market, through in-depth understanding of the relationship between the two markets. Then, they can take rational investment strategy according to their judgment.Except the introduction, the paper contains five chapters. The introduction clarified topic, background and significance of this article. It also outlined the structure and research methods. The first chapter is a basic overview of stock index stock. First of all, it defines the basic meaning of the stock index futures and analyzes the stock index, the stock index futures contracts and their contents comprehensively. Secondly, it describes the functions of the stock index futures in detail. Again, it reviews the history of the stock index futures and summarizes its current situation and future trends. Finally, it introduces the main contents of CSI 300 index futures. The second chapter discusses the efficient market hypothesis and analyzes the efficiency of stock index futures market in china. The third chapter has carried out an empirical study on the price discovery function of stock index futures in china, operating Augment Dickey-Fuller test, cointegration test and Granger causality test models. It then analyzes and evaluates the conclusions. Chapter IV researches the efficiency of price discovery about stock index futures in china, in order to pave the way to start the fifth chapter. Chapter V analyzes the influence of price discovery of stock index futures on the spot market, and how can investors take the investment strategy under this influence.