Empirical Study On Price Linkage Effects Between A-stock Index Futures And HS300-stock Index

April16,2010, China’s first four index futures contracts officially listed fortrading. The official listing of stock index futures is another milestone in thedevelopment of China’s capital market.Stock index futures is most rapid pace of development of risk management toolsin the world, it will significantly develop China’s financial market. At the same time,after the official listing of stock index futures, whether it can operate normally isparticularly important, the more important point is that stock index futures cannormally achieve its "price discovery" function. The existence and development of theentire futures market and the futures market hedging function prerequisite that the"price discovery" function can normally be achieved. For these reasons, in our HS300futures market for the study, focusing on the stock index futures of our state still in itsinfancy and its price discovery function,make measurement and evaluationobjectively on this basic feature of China’s stock index futures market.At first, This paper elaborated the theory of price discovery and the researchstatus on "price discovery" function, then applies a variety of econometric models,like the unit root test, co-integration test, error correction model, Granger causalitytest, cross-correlation, research HS300stock index futures market, collected HS300Futures operational status from2010on April16to September18,2013. The resultsshowed that: China stock index futures market, still in its infancy, is effective,basically achieved "price discovery" function. HS300futures and the underlyingindex with a long-term equilibrium relationship; Short-term volatility will adjust tobalance; Stock index futures is the granger cause of stock index, stock index futuresled the trend of the stock index "lead-lag" relationship exists, and this "lead-lag"relationship are about1-3minutes. But compared with the mature of stock indexfutures market, there is a great gap, it is necessary to further improve the stock indexfutures market, give full play to the price discovery function of stock index futures,for enhancing the entire capital operating efficiency of the market.