Research On Price Discovery Function And Contribution Degree Of CSI300Stock Index Futures

In September8,2006, China ifnancial futures exchange was established inShanghai, whose registered capital is500million yuan. The setup of the Chinafinancial futures exchange, to deepen the reform of the financial market and perfectthe financial market system, has important strategic significance. Atfer the simulationtransaction of groping, on April16，2010the CSI300stock index futures waslaunched.The current China’s stock index futures market’s price discovery function, and theguiding relationship between the spot market price, price discovery contributiondegree, studying these problems can reveal that the process of China’s stock indexfutures market price discovery and price discovery ability, at the same time thesevaluable market information can be provided to traders, also is helpful for ourunderstanding of China’s stock index futures market price discovery mechanism.First of all，this paper take descriptive statistical analysis and stable test to thelogarithm yield of stock index futures; Then with the Granger causality test if there isa leading relationship between spot and futures prices; Then, through the analysis ofimpulse response function and variance decomposition, explore the impact of theendogenous variable and the error term of the effects of other variables in the model;Then, by Johansen cointegration relationship judge whether there is a long-termequilibrium relationship between stock index futures and spot prices; And accordingto the results of the vector error correction model (VEC)，test a mutual influencebetween the spot price and the stock index futures. In the final analyse VEC modelparameter estimation results, set up information share model (IS), computing thefutures market share and make quantitative analysis to price discovery contribution.Research shows that:First, in terms of the results of the granger causality test, at the frequency of dailydata, the spot market and futures market are not each other’s price changes, but underthe data frequency of1minute, the futures market and spot market price are eachother’s price changes. Second, analyse impulse response function and variance decomposition. Unci thatthe stock index futures market has a long-term price discovery function, but the priceof the stock index futures is mainly influenced by its impact, spot market will havelittle impact on the stock index futures market, which meas there is an influence ofstock index futures market on the spot market price.Finally, analyse price discovery contribution degree, ifnd that when the data rateis higher, the stock index futures price discovery contribution is smaller. At thefrequency of daily data, stock index futures price discovery contribution is47.82%; Atthe frequency of1minute, stock index futures price discovery contribution is44.27%,both show that stock index spot price discovery ability is very strong, domimmt in tlieprocess of price discovery.