Research On The Price Discovery Function Of Shanghai And Shenzhen 300 Index Futures

This article studied the guide relations between the Chinese CSI300 index futures and index spot price and quantified the contributions of the CSI300 index futures and index spot market to the price discovery process,using the high frequency data, which is divided into decline stage data and rising stage data. First, we verified the existence of led lag relationship through the Granger causality test method and determined the long-term and balanced relationship through the Johansen co-integration relationship test between the very two markets. Basing on the test results,we established the vector error correction model to respectively examine the two different degrees of interactions between the index futures and spot prices for decline stage and rising stage. Similarly,the results from information share model tests also show the different roles of index futures in the price discovery process during different market conditions.