An Empirical Study On The Price Discovery And Influencing Factors Of China 's Stock Index Futures

Price discovery is the most fundamental function to realize the normal operation of stock index futures market foundation. Thus price discovery comes to be the paramount concern of general investors, financial institutions and supervision departments. As the second batch of stock index futures in China financial derivative market, Shanghai 50 and Csi 500 Stock Index Futures’ s price discovery dynamic process and influencial factors comes to be the main points of this paper. Based on the operation condition of the two stock index futures, we divide our empirical data into two intervals according to the time of the strict position restriction policy.This paper study the price discovery in IH50 and IC500 from two aspects of static and dynamic. From the static aspect, we firstly test the cointegration relationship of the spot and futures price of IH50 and IC500. Then we use VECM to figure out the lead-lag relationship. The result shows that the futures market plays an crucial role in price discovery process for both IH50 and IC500. After that, with the combination of VECM and DCC-GARCH model, we study the volatility spillover effect between the spot and futures market from a second geometric moment perspective. The empirical analysis shows that the volatility spillover from futures market to spot market for both IH50 and IC500, which mains the price discovery function of the futures market operated well. Moreover, we compare the changes of price discovery in different intervals.From the dynamic aspect, the result of the MIS model shows that the price discovery ability has already be gained in the beginning of the IH50 and IC500 index futures and the strict position restriction policy has a negative effect. All in all, the paper focuses on the influncial factors of the price discovery ability by the use of the multiple regression measure. The result shows that the relative activity and over night impose have a positive effect to the price discovery ability of the futures market and the speculation level and strict position restriction policy have a negative effect.So far, the paper has built a complete framework to the study of the price discovery problem for the stock index futrues and gave an overall analysis on the price discovery ability of the IH50 and IC500 stock index futures markets.