A Study On The Price Discovery Function Of The Chinese Index Futures Market:Application Of The Wavelet Multi-Resolution

Stock index futures refer to the stock price index as the subject matter of the standardized futures contracts. China was launched on April16, 2014 in Shanghai and Shenzhen 300 index for the subject matter of the CSI 300 index futures contracts, financial derivatives market of our country, from then on, into the era of stock index futures in China. With the launch of the CSI 300 stock index futures contracts, the Shanghai and Shenzhen stock market volatility increased significantly. The stock index futures trend and volatility of stock cash market impact, this is the market’s concern for investors and regulators.The price discovery ability is the foundation of the existence and development of market, is also the premise of the implementation of stock index futures market hedging function. To give full play to the stock index futures price discovery is conducive to point to the spot market system risk aversion and portfolio effective configuration, the relationship between the stock market price stability and bearing capacity of market as a whole. To study China’s stock index futures market and stock index between the spot market price discovery ability, this article will in time domain and frequency domain at the same time at the same time study on these two areas, through the guidance of price relationship analysis, volatility spillover effect analysis and price discoverycontribution analysis, comprehensive analysis of Chinese Shanghai and Shenzhen 300 stock index futures market price discovery ability.This paper collected on April 16, 2010 to April 16, 2014 in Shanghai and Shenzhen 300 index futures and spot daily closing price. Using wavelet multi-resolution analysis method for time series decomposition,different time domain and frequency domain of long-term and short-term,sequence, using the method of Granger causality test, impulse response function and contribution to measure model and so on, From price guide relationship analysis, impulse response analysis of two aspects of empirical analysis, comprehensive study China’s CSI 300 stock index futures market price discovery ability. Through the empirical analysis: in the short term trend, the CSI 300 stock index futures market in China has a strong ability of price discovery; In the long-term trend, the CSI 300 stock index futures market in China does not have significant price discovery ability. And the empirical conclusions and general research thought of stock index futures market in China has a strong ability of price discovery is not consistent. And analyze the cause of formation, and the solving method, and gives policy Suggestions...