Research Of HS300Stock Index Futures’ Price Discovery Function

The price discovery function is the foundation of stock index futures market’existence and development. In the meantime the price discovery function is the premise of realizing hedging function in stock index futures market. Bringing into play the price discovery function is beneficial to avoiding system risk in spot market and allocating of investment combination. The price discovery function have something to do with the price steadiness of the stock market and the bearing capacity of the market as a whole. In order to put stock index futures’ function to good use and promote the development of stock index futures. Research into the price discovery function of stock market futures in the infant stage and evaluate the basis functions of stock index futures market from the quantitative point of view objectively can recognize maturity of stock index futures market and identify whether there is a problem.This text collect the data of daily closing price since march5,2012to march7,2013and the high frequency data of time interval of15minutes since February21,2013to march7,2013. Apply Granger causality test for judging price lead-lag relationship between spot market and futures market from short and long term. Apply pulse response analysis based on VAR model to explore dynamic effect new information on the futures price and spot price using different frequency of price sequence of futures market and spot market. Apply variance decomposition based on VAR model to explore contribution of price discovery of futures market and spot market from long and short term. At last, compare the empirical findings of different frequency trading data.From the microcosmic point of view, high frequency stock index futures prices lead spot price and last for a long time, stock index futures prices lead spot price in the short term. For short-term traders in the spot market, they may refer to stock index futures price for making investment decision, then set up a risk management system between stock index futures market and spot market. The most obvious lead time is15minutes. The price discovery function of stock index futures market exists in the short term, but lost the function of price discovery in the long run. For long-term investors in spot market, refer to the stock index futures market for making investment decision is of little value. The price discovery function of chinese stock index futures market still have a lot of room to improve, in order to further promote the price discovery function of chinese stock index futures market, this article put forward four policy recommendations at last.