The Csi 300 Index Futures Price Discovery Function Of Empirical Research

April16th2010, China Financial Futures Exchange launched China’s first stock index futures, CSI300Index Stock Futures. This action shows that China is more close to a mature financial market. The launch of stock index futures has great significance to the development and improvement of China’s capital market system, and the establishment of international financial center.As a financial tool, stock index futures can help investors hedge their assets, and effectively control market risk. The prerequisite of the effect mentioned avoid is that stock index futures have the function of price discovery. A great number of researches have found that stock index futures have the effect of price discovery, and stock index futures leads stock index. Thus, this paper plans to study CSI300Index Stock Futures, and explore whether China’s stock index futures also have the similar function.Those previous researches focusing on the similar problem tend to apply parametric methods which base on the linear time series models. This paper puts forward a non-parametric method to study this problem. After detailed introduction of this non-parametric method, this paper applies cointegration test and non-parametric regression model to analyze the1-minute trade data of CSI300Index and CSI300Index Stock Futures from Aug.22nd2011to Oct.21st2011. The result shows that there exists long-term steady equilibrium relationship between CSI300Index and CSI300Index Stock Futures, and CSI300Index Stock Futures leads CSI300Index about2minutes on average.This conclusion shows that China’s stock index futures have the function of price discovery. The launch of China’s stock index futures is successful and China’s stock index futures market is effective. Our investors can use stock index futures to avoid risk and hedge their assets. The success of stock index futures will also promote our country to develop and launch more financial derivatives, and establish a more effective and mature capital market.