Research On Price Discovery Of The Stock Index Futures And Influence Of It On The Information Dissemination Efficiency Of Spot Market In China

In April2010,China’s financial futures exchange introduced the HS300stock indexfutures,which is the first financial futures varieties in China.The introduction of stock indexfutures is an milestone that mark the China’s capital market became mature,has the importantmeaning for china to realize multi-level and diversified development objectives. A standardand mature futures market has important sense to improving market price formingmechanism, and whether a stock index futures has price discovery function relates to howeffective the stock index futures market running.China’s stock index futures market is a newlyestablished stock index futures market and how effective the one running, is widely concernedby the financial supervision department and the financial market participants.This article first briefly introduces the development of China’s stock indexfutures,followed by analysis of its focus on the role of the theoretical basis of pricediscovery,then use the empirical model of price discovery role of its in depth research.Inparticular, this paper selects the data from China’s stock index futures of two years, includingdaily transaction data and5minutes-frequency transaction data,using the Granger causalitytest,VEC model, generalized impulse response, variance decomposition and GARCH modelanalysis, EGARCH model to explore the price discovery function of HS300stock indexfutures, and the influence of launch of stock index futures to information disseminationefficiency of spot market. The results of the study show that HS300stock index futures haveprice discovery function during one day and in certain overshadowed the asymmetric effectsof the stock market, but failed to significantly reduce the volatility of the stock market, notimprove the stock market information transmission efficiency. This shows that our state’sstock index futures market operation effectiveness is poorer, although it has the pricediscovery function, but cannot improve the spot market operation efficiency, which still has alarge gap with mature stock index futures market. In order to improve the efficiency of stockindex futures market, this paper put forward some suggestions from the point of increasingthe breadth and depth of the market.