A Study Of The Price Discovery In The Stock Index Futures Market And The Stock Market

Since the inception of the stock index futures,the changes of internationalfinancial markets because of it is valued to be concerned . As the financial innovationof the international financial markets in the 20th century, 80, it excellently plays itsfunctions-price discovery, risk aversion and hedging. The level of the price discoverywill directly affect the overall level of the stock index futures functions. Developmentof the stock index futures in the local market will have a great significance to improvethe product structure of financial markets, stabilize the financial market trends,promote the domestic financial market innovation, and increase the internationalcompetitiveness of financial markets and so on. In this situation of developingsecurities markets in China, the index futures'role will become more prominent. Formore in-depth understanding of the stock index futures market impact on financialmarkets and its function, it is necessary to have a comprehensive and accurateunderstanding on the content of the price discovery function in the stock index futuresmarket first,which is also benefit to do a research on the price discovery functionlevel of the stock index futures market.After the list of the CSI300 stock index futures, the discussion of its pricediscovery is so hot, and can be generally divided into four different views. The firstone is to say that the stock market has discovered the price, so the stock index futuresdon't have the function of the price discovery. The second one can be described as thestock index futures open the price early 15m than the spot, so the open price of thestock index futures is a discovery to the stock index price, and this point is morepopular among the investors. The third one is that the stock index futures price to bean undivergence estimation of the stock index price.The last one is that the stockindex futures povides a guide to the stock index during trading time, and the stockindex futures have price discovery functions.above on, there is a big divergence of theunderstanding of the price discovery, and it's no benefit to study the stock indexfutures in the future.The first part in this paper will introduce two markets and their developmentstates. First, we will learn about the features of them. Second, we will have a studyabout the history document research of them. At last, we will conclude theconnotation of the price discovery.A comprehensive and accurate understanding thecontent of the price discovery is the basis of building theoretical models. The second part will introdue some analysis methods and mathematics models of the pricediscovery. In the third part, we will do an empirical analysis of two markets'5s highfrequency datas by different analysis methods. After that, we will make a measure tothe price discovery proportion of two markets, and have a survey of the Chinesefinancial market. In the fourth part,we will have a try to find out main market factorswhich may affect the price discovery by linear regression method. We will also do aresearch on the relationship between different countrys that may affect the pricediscovery. Though the model P-T is not builded myself, the main characterist of thispaper is its complete practical analysis thinking, a good order analysis process. We aremaking use of a complete and order analysis thinking of the price discovery in twomarkets. The other characterist of this paper is the data-5s frequency datas, makingthe result more factor value. At last,the discussion of the different country'affect isvery meaning newadays as high global of the world financial markets.