The Research On Chinese ETF And Stock Index Futures Volatility Spillover And Price Discovery

In recent years, with China quickening the pace of financial innovation, index derivatives market development is very rapid. Stock index futures and ETF are financial derivatives for the subject matter of stock price index. Both ingenious products and the market mechanism design win the favor of investors with different demand of financial risk appetite. And by such behaviors like investing in arbitrage, hedging transactions, they have close ties with the stock market. With the emerging of the index derivatives market, it enables us to track the same targeted index of market between different financial derivatives research. Its significances lie in:on the one hand, it can deepen the price discovery theory research, provides evidence for policy making and financial market regulation and related suggestions; on the other hand, it would be helpful for market participants to investment, which provides the theoretical foundation of speculation and hedging.The futures market and ETF volatility spillover and price discovery function is based on certain theory, including volatility spillover theory, the price formation mechanism, the holding cost theory and so on. If the financial market is perfect competition and has market efficiency, we trade financial assets with a common value basis in different financial markets, the price will reach equilibrium at the same time. Because in efficient markets, different markets can timely response to market information, so there is no lead-lag relations.But in the real world, as a result of the financial capital market trading mechanism and transaction object existence have a big difference. Microstructure main bodies also have serious differences in response speed and in the process of market information. The price discovery function of the effectiveness also have strong with the weak, so the same asset price exist in different market price is not consistent. And the process showed the lead-lag relationship. What’s more, it can appear that different financial products in the market price finding that the contribution is not consistent. Based on this background, this paper selected the CSI 300 stock index futures and CSI 300 ETF as the research objects, because the stock index futures and index ETF can track on the same subject together. Therefore we can from two aspects like volatility spillover relationships as well as the price discovery function to study the relationship between the futures market and ETFS. In order to further explore the efficiency of China’s financial derivatives market.discussed correlation and price discovery of ETF and stock index futures in China, such research in China was less. The study of price discovery ability adopted integration test and the model of information sharing, respectively explored the price discovery ability between ETF and stock index futures. The results showed that:as a stock index or fund instead of spot prices, futures market price discovery ability was in a dominant position. The futures market price discovery function was into full play. After further revealed the effects and the impact of CSI index futures listed on the spot market, and analyze the deep reason of these phenomena, we would help investors to deepen understanding of stock index futures, provide relevant basis for investment strategy, help regulators to take corresponding measures and strategies to regulate and promote the healthy and stable development of stock index futures and fund market in China.