The Research On Price Discovery In Chinese HS300Index Futures

The introduction of stock index futures in order to avoid systemic risk in the spot market,in addition to price discovery, hedging, curb volatility, asset allocation, active market andother functions. The price discovery is one of the functions in stock index futures market,reflecting the effectiveness of stock index futures market, stock index futures market pricediscovery is always the concern of the investors, hedgers, and supervisory authorities. April16,2010, Chinese HS300stock index futures began trading officially, run well more than ayear. HS300stock index futures running more than a year, stock index futuresmarket.Whether to play its basic function is to be verified. Chinese securities market in theprocess of constant development and improvement, more complex about market risk,Between HS300stock index futures market and stock index spot market information transferthe and volatility spillover effects, this is a problem worthy of study.In this paper the use one minute of high-frequency data HS300stock index and theHS300stock index futures to study between stock index futures and stock index spot pricediscovery function. Thesis study conducted from the following: Through the establishment ofco-integration test to study the HS300stock index futures and stock index long-termequilibrium relationship. Through the establishment of VEC model to study between HS300stock index futures and stock index interaction the days and the research of stock indexfutures market price discovery. By Granger causality test the HS300stock index and stockindex futures stock relationships. By impulse response further analysis the interactionbetween stock index futures prices and spot prices. Using variance decomposition Consider intwo market share of price discovery. By EGARCH (1,1) model research HS300stock indexfutures and stock index spot market volatility spillover effects.From the empirical results，HS300stock index futures and spot exists long-runequilibrium relations. HS300stock index futures market leads spot market10minutes. In theshort term Stock index futures with the price discovery function. Stock index futures priceshas a very obvious way of leading on the spot price and guiding significant effect.Information content of stock index futures price is higher than the information content ofstock index spot price, Stock index futures in a dominant position in price discovery.Therewere significant two-way volatility spillover between the HS300index futures market and thespot market, and the effect of futures market volatility spillover is stronger than the stockmarket. Bad news is more sensitive to the stock market. There is no asymmetric effect in thestock spot market, the impact of stock index spot market last longer volatility.