| A stock index future is one of the financial derivatives which is cash-settled futures contract on the value of a particular stock market index. It is one of the most important financial derivative instruments in the world. In China, the CSI300futures was published for about three years, and still now it is one of the focus of the securities market. The releasing of the CSI300futures provide the investors more choices and also provide an important tool for risk management. This paper will focus on the price discovery of the stock index futures and use the high-frequency data of5minutes to find the lead-lag relationship between the CSI300and its future contracts. And then, this paper will exam the effect of news releasing on the lead-lag relationship between the CSI300and its future contracts.This paper is divided into six parts, the first part is an introduction describing the issue background, thesis structure and the innovation of this paper. The second part is the literature reviews, an overview of the results of previous studies. The third part is an overview of stock index futures to introduce the stock index futures basics. The fourth part is empirical research of the lead-lag relationship between the CSI300and its future contracts, using high-frequency data of five minutes around about2years between2011and2012. The fifth part is empirical research to exam the effect of the news releasing, using the macroeconomic news and the firm-specific news. And the last part is the results of this paper.This paper documents a lead of CSI300futures contracts to CSI300. The evidence shows that the lead of the future is about30minutes and the feedback of the index is only5minutes. And surrounding the macroeconomic news releases, the ability of the lead of CSI300futures will be stronger. And surrounding the firm-specific news releases, there is no evidence show that the lead of index will be stronger but the time of feedback would be longer.There are two innovations in this paper. First, in order to verify the lead-lag relationship between the futures and index, this paper use the five-minute high-frequency data of transaction as long as two years. Previous studies had also used the high-frequency data, but most of them only use the data from the simulation transactions. And others were using the true transaction data, but often choose a short sample intervals. Second, in order to exam the effect of the news releasing, this paper has used the macroeconomic news and the firm-specific news. Previous studies had verified the relationship between the two markets around the new information. But most of them only testify the changes of the models, not using the real news. In this paper, some news from the government and firms are used. So the change of the relationship between the two markets can be verified by data which is selected from the markets. |
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