A Study About Chinese Stock Index Future Influence On The Stock Market

Stock index future is one of the international capital market in the most active risk management tools. Value line index futures for the first time since1982after the United States, the rapid development of international stock index futures. But with the continuous development of China’s financial market and perfect, China has gradually developed the stock index futures, China Financial Futures Exchange was established in Shanghai on2006September. In2010February, the stock index futures market system has been introduced in the joint effort to explore. In April16,2010, China’s first stock index futures products listed on the official trading, it is another milepost development road of China’s capital market.Before the listing, stock index futures has experienced more than8years of brewing and prepared for4years in our country, so after the listing, continue to focus on running status of stock index futures is a very important task. The introduction of index futures on spot market is in many aspects, among them, the hedging of stock index futures, price discovery is the two most important function. This article is mainly from the stock index futures and spot market price discovery to study, analysis of the stock index futures in the listing is fulfilling its due function and the market, the price discovery function play a role in how, and the control performance of foreign financial derivatives market, the stock index futures market in China to make a objective evaluation from a quantitative angle.This paper will draw on the findings validity test method popular for the price, the application of econometric models, parcel unit root test, vector autoregressive model (VAR), error correction model (VEC), Grainger causality test, study the multi-dimensional for operation of stock index futures in China officially listed, collected during the period of January4,2012to December31,2012of1minutes of data, much angle, mining depth study found running rules in terms of price.Conclude:in Chinese financial market, the Shanghai and Shenzhen300stock index futures price discovery function of the stock index, stock index can lead to a certain extent, the trend, and the lag of1-4minutes most effect.