Stock Index Futures Price Discovery Role Of Empirical Analysis

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."Price Discovery"is one of the main functions of it. 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. But in the actual market, the price trend of Stock Index Future always fails to predict the spot price. Therefore, this article makes use of the Granger Causality Tests for analyzing the three major Stock Index Futures in the world market 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, the author analyzes the reasons for different results.