A Study On Price Guide Relationship Between The CSI 300 Index Futures And Stock Indexes

In 1980s, the Kansas stock exchange for the first time introduced the Value line index futures contracts, stock index futures was born. Since then stock index futures in the foreign developed financial markets have been developing rapidly, emerging markets also have launched the stock index futures trading. Stock index futures, as a kind of investment tool to realize the hedging of assets, has gradually developed into an important means of investment. Before the launch of stock index futures, the operation mechanism and structure of China’s stock market are imperfect because of the lack of short mechanism and means. And there will be risk characteristics, such as large amplitude, high exchange rate, short average holding time, high system risk etc. The Chinese financial futures exchange launched the CSI 300 index futures. Its appearance makes capital market entered a new era of "bilateral profit".Stock index futures is a kind of financial futures products, it not only has the general function of financial futures, but also shows its economic function in terms of price discovery and risk aversion. Price discovery is a major function of futures market. There are many foreign researches on price discovery. China also has related research. But because the development of stock index futures is not very mature, we need to make further research on the problem of the price discovery function of the stock index futures. We especially need to make further research on the price guidance. Previous research is mainly based on stock index futures and its underlying index. There are few studies on the stock index futures and the non subject indexes.In this paper, we select the daily closing prices of the CSI 300 index future, the CSI 300 index and the Shanghai composite index from April 16,2010 to March 20, 2015 as the sample data. We use multiple time series method to study the price guide relationship between the CSI 300 index futures and the CSI 300 index. We also use same method to study the price guide relationship between the CSI 300 index futures and the Shanghai composite index. In this paper, the results of co-integration test show that, there is a long-term equilibrium relationship between the CSI 300 index futures and its underlying index. There is a same relationship between the CSI 300 index futures and the Shanghai Composite Index, too. The results of Grange causality test show that, there is a two-way causal relationship between the CSI 300 index futures and the CSI 300 index. There is one-way causality between the CSI 300 index futures and the Shanghai Composite Index. The CSI 300 index futures are the Granger cause of the Shanghai composite index. Correction coefficients of error correction model show that, the adjustment of the CSI 300 index futures to the CSI 300 index is different from its adjustment to the CSI 300 index when their prices deviate from long-term equilibrium. The former adjustment is greater than the latter. Observed from the impulse response diagram, we find that the stock index futures’ changes caused by indexes are much smaller than the indexes’ changes caused by the stock index futures. But they have almost the same ability to absorb shocks. The results of regression method with virtual variables show that, the leading role of the stock index futures is more obvious when the CSI 300 index futures are in the rising stage. Combined with the results of empirical research and existing problems in China’s securities market, we put forward the relevant countermeasures and suggestions, in order to improve the further development of China’s financial market and strengthen price guidance function of China’s stock index futures market.There are three innovations in this paper. First, we use the data which is the main contract data of the stock index futures. So it has a strong representation. Second, we not only study the price guide relationship between the CSI 300 index futures and its underlying index, but also study the price guide relationship between the CSI 300 index futures and its non-subject index. Third, regression model with dummy variables is innovatively used to study the different guiding role between CSI 300 index futures and stock indexes when the CSI 300 index futures rise or fall.