Relationship Between Prices Of Stock Index Futures And Spot Prices

April 16,2010, after years of deliberation, argument and preparations for the Shanghai and Shenzhen 300 stock index futures contracts in China finally officially launched, not only for domestic investors to bring a new investment targets, but also is an important milestone for the development of China’s capital market.However, after the launch of the shares of futures, many investors found between stock index futures and spot prices often a huge gap, interval Change rate is serious does not match, and rose more or less unilateral market continued a long time phenomenon, a phenomenon that only large cattle or big Bear period, is not consistent with the investment environment, many investors questioned the existing stock index futures system, due to the barriers to entry are high institutions to buy many restrictions too much, resulting in the stock index futures price discovery function Deviation become a paradise for speculators. Therefore, the author of this article to the CSI 300 index futures market as the research object, cf. Overseas financial derivatives market performance, objectively found to make the stock index futures prices in our current system to measure and evaluate.Firstly, features a simple exposition simple reviewed and discussed, and the research results at home and abroad at this stage, and then I use the end of April 19,2010-2010 CSI 300 stock index futures prices stock index futures contracts with the Shanghai and Shenzhen 300 stock index closing price and the Hong Kong Hang Seng index futures contracts with the Hang Seng Index in Hong Kong stock index closing price as the object of study of this article, using Granger causality test, the VAR model, the difference between of guide to study the relationship, and eventually found and concluded that Hong Kong’s Hang Seng stock index futures market efficient price discovery function, in line with the characteristics of the mature markets, Shanghai and Shenzhen 300 stock index futures market has had a certain price discovery function, but because of the current lack of arbitrage mechanism, so that has a great deviation of the current price, it is necessary to further improve our current stock index futures system, in order to give full play to the function of price discovery, made good for investors investment protection.