The Emprical Research On The Price Discovery Function Of CSI300Stock Index Futures

On April16,2010, the Shanghai and Shenzhen300(CSI300) stock index futures is launched to follow the trend of the times, with a significant positive effect on China’s securities market and even the capital market. It changes the long-standing unilateral market mechanism, improves our country’s financial products system and financial market operation mechanism, drives the further development of the stock market and futures market. Due to the low transaction cost, high leverage, high liquidity and bilateral transaction mechanism, the stock index futures market can rapidly assemble and reflect macroscopical economy, market trend information. The realization of the price discovery fuction makes it play a role of "weatherglass" in the sock market and national economy.The CSI300stock index futures breaks the long silence of the China stock index futures market. As a new thing, whether it succeeds or not depends to some extent on whether the price discovery function is realized or not. In the early stages of the launch of stock index futures, to positively regard to relevance of the two markets and price leading relationship between stock index futures and spot, and then to deepen the understanding of the stock index futures price discovery function, from the macroscopic level, contributes to a correct understanding of China’s stock index futures market microstructure, provides a basis for the government macro-control decision-making, and promotes optimization and development of capital market, but also from the microcosmic level, benefits hedging and arbitrage type of investment activities and related trading strategy formulation, and has practical significance for the stock index futures market function.Based on the above objective of study, this paper, to do empirical research, uses the CSI300stock index futures consecutive month and the CSI300stock index closing quotation price data and5minute high frequency data, specific to the real sample data of a year and five months (April16,2010to September15,2011), after China, the emerging market countries, officially launches stock index futures. In the research methods, based on the unit root test of data smoothness, this paper sets up the vector autoregressive (VAR) model, and then tests the existence and directivity of the CSI stock index futures price discovery function with the VAR model based Johansen cointegration test, vector error correction (VECM) model and Granger causality test. Finally is uses the VAR model based impulse response function and variance decomposition, from the perspective of the dynamic interaction relationship, to study the leading role of CSI300stock index futures market in price formation, and to quantify the contribution degree of stock index futures and spot market in the price formation. In the structure of research, on the one hand, based on different time frequency, it makes comparative analysis using daily data and5minutes high frequency data, to discuss the price leading relationship between stock index futures and spot in macro micro level. On the other hand, based on the spot index variation trend, it takes empirical research on the stock index futures price discovery function, respectively on the stock index downward stage, upward stage, and sideways concussion stage.It makes comparative analysis of the results based on the empirical test. Based on different time frequency, the results show that, the macro-level CSI300index futures price is not strongly leading spot market, the stock index futures price discovery function is not obvious, but the micro-level CSI300stock index futures price discovery function is obvious. It shows that, China’s stock index futures market already has the function of price discovery, but not fully played. The two market price relationships and the stock index futures market efficiency has a boost space.much room for improvement. Based on the spot index variation trend, the results show that, the CSI300stock index futures all has a certain price discovery function, in stock index downward, upward and sideways concussion stages, but the index futures price discovery function in sideways concussion stage is the most obvious, and the upward stage relatively weak.Finally, this paper, from the market investor access and guide, foreign development strategy, market regulation, supervision, and integration, and other aspects, provides policy suggestion for improving the stock index futures price discovery function when China is still in the initial stage.