Price Discovery In The CSI300Stock Index Futures Market

On April16,2010, CSI300index futures contract formally in China Financial Futures Exchange, this step, on China’s financial derivatives market development has important significance in the development of capital market in China, it is a milepost. Stock index futures market in the past two years, has been widespread concern investors, stock index futures market brings a wealth of capital market investment strategy, the change of China’s long-standing unilateral market investment habits.Stock index futures price discovery function refers to participants in a market open, fair and wide participation, the futures market can form uniform industry pricing system, as the spot price formation of reference price. Stock index futures market price has the function of price discovery, in the stock index futures market than the stock market in the trading mechanism and way of existence, stock index futures market gathered a large number of market participants. When the market is new information related to the effects of market participants expected future prices of assets, market participants are more likely to adjust the positions in the futures market, the stock index futures price changes to reflect the new market information faster, the futures market has led the stock market in the future price trend.This article used the theoretical analysis and empirical tests of the method, through to our country stock index futures price discovery function theory is introduced as well as China’s Shanghai and Shenzhen300stock index futures market data for empirical research, analysis of the CSI300index futures price and spot price is" lead lag relationship". Using the econometrics method, respectively, in CSI300index futures daily data and the minute data, from macroscopical and microcosmic two respects, to the study of China’s CSI300index futures market whether have the function of price discovery. Through to our country of CSI300stock index futures market price discovery function studies, on China’s stock index futures market development condition to make a preliminary judgement, for China’s relevant regulatory authorities of the stock index futures market to make policy to provide reference.Although China’s CSI300index futures market show the function of price discovery, however, this function is not strong. Futures market price discovery function of directly reflects the Chinese market efficiency and market structure is perfect. Compared with the developed stock index futures market, China’s stock index futures market needs to further improve and perfect, this paper gives some suggestions, hope policy supervision departments handle the development and supervision ability relations, adhere to the development speed and the supervising ability to adapt, to avoid the occurrence of systemic risk, maintain the market order, protect investors vital interests.