Whether The CSI300Stock Index Futures Have Price Discovery Function?

This article aims to study the guide relations between the Chinese CSI300stock index futures and index spot price and quantitatively to answer the dominant and subordinate relationship between stock index futures and spot prices.In order to examine the relationship between the CSI300stock index futures and spot prices at the same time from two leading lag relationship and quantify the degree of influence is more comprehensive, more accurate, we first conducted descriptive statistics on stock index futures and spot prices, the number of income analysis and stationary test; between futures and spot prices through the Granger causality test method to verify the existence of the lead lag relationship, and the sequence of the Johansen cointegration relationship test to determine the existence of long-term futures and spot a balanced relationship; On this basis, the establishment of the vector error correction model (VEC), to examine the degree of interaction between futures and spot prices; Finally, the results of parameter estimation based on the establishment of the vector error correction model, building information share model (IS), the price discovery to make a quantitative analysis. The empirical study found that:First of all, from the results of the Johansen Cointegration test and Granger causality test between stock index futures and the CSI300index spot price long-term equilibrium relationship in the day data frequency, the spot price is the futures price changes reasons, and in five minutes and one minute data frequency, the futures price is the spot price change. Such results show that the long term, the spot of the CSI300index is the basis of the price of the stock index futures, stock index futures is the reason for the change of the spot price in the short term.Second, the results from the impulse response and variance decomposition analysis, stock index futures market on the spot market has a long-term price discovery function, while the spot market has little effect on stock index futures market and short duration, stock index futures prices are mainly due to shocks, which also reflects the stock index futures to guide the relationship between the spot price. Again, from the price guide the relationship between the results of three different data frequency, the day data and five minutes of data are only shown the way to guide the relationship between stock index futures on the Shanghai and Shenzhen300index spot, stock index futures leading spot days and70minutes. One minute of data between the stock index futures and the Shanghai and Shenzhen300Index stock showed two-way price guide relationship, but the Shanghai and Shenzhen300Index stock guide on stock index futures are weak and short duration, the spot only three minutes leading futures and stock index futures shown by the CSI300index spot with a strong ability to boot and this effect of longer duration, futures leading spot18minutes.Finally, the contribution of point of view, we found that the higher the data frequency, shown by the stock index futures price discovery contribution of the price discovery. Degree Days data, stock index futures price discovery contribution of only45.8164%, visible under the Japanese data, the futures prices did not show it; stock index futures price discovery contribution of the rapid increase in the frequency of5minutes,72.2929%of the frequency of one minute, the stock index futures price discovery contribution is to achieve84.6970%, These results suggest that stock index futures price discovery are strong, the spot price is relatively weak, the stock index futures prices dominant in the discovery process.