Research On Price Discovery Function Of CSI300Index Futures Based On New Information Stock

On April10,2010the CSI300stock index futures have launched on the capital market in ourcountry.And until now the CSI300stock index futures have been running smoothly more than twoyears.The increasing trading volume and growing transaction volume mean that the stock futuresmarket is gradually maturing.The stock futures market has become an indispensable part of the capitalmarket in China and it will be an increasingly important part of our capital market.As a derivative,theCSI300stock index futures have been given the following three functions: price discovery,avoid risksand asset allocation.Among the three functions,the price discovery function is the most basicfunction.The play of the CSI300stock index futures,especially the price discovery function turn intothe focus of the industry personnel since the CSI300stock index futures trading in the futures market.In this paper,the intraday high data of the CSI300stock index futures and the CSI300index willbeen used to analyze the price discovery function,based on the impact of new market information tothe future market and the spot market.In the front part of this paper,first consider the transfer processof the CSI300stock index futures market and the CSI300index spot market responses to the newmarket information’s shock.The vector error correction model will used to analyze volatility spilloversbetween the two markets.Make sure the bidirectional guide relationship (that is the lead-lagrelationship) between the CSI300stock index futures and the CSI300index.Then use of the impulseresponse function is to determine relative strength of the price discovery function and the variancedecomposition is used to analyze the dynamic impact process between the CSI300stock indexfutures and the CSI300index.In the other part of this paper,the process of new market informationabsorption integrate into the two markets will be considered.The permanent transient model andinformation share model are based on vector error correction model.These two model will been usedto determine the relative contribution ratio in the price discovery function and make sure the relativestrength of price discovery function between the two market.The results show that there is a stable dynamic equilibrium relationship between the CSI300stock index futures and its stock index in long-term.But in the short term,the price of CSI300stockindex futures has a leading about15minutes of the CSI300Index’s Price.In the price discoveryfunction,the CSI300index futures is stronger than the CSI300Index.In other words,the CSI300index futures have price discovery function relative to the CSI300Index.