The Empirical Research On The Price Discovery Of CSI300 Index Futures

Stock index futures officially listed in April 16,2010. Today, it has been in the development of China’s financial market for 6 years time. As an important branch of derivatives, stock index futures is an indispensable part of the financial market. Since China officially launched the CSI 300 index futures, in mobility, market participation, information transmission speed has been a certain degree of improvement. At the same time, the stock index futures enrich the types of financial products, giving investors more choices, ending the history of going long only in China. But in view of the fact that its development time in China is short, compared with western developed countries’mature futures market is still a big gap, Index future market needs to improve a lot.Price discovery as one of the most important economic function of futures, will also be reflected in the nature of the stock index futures. If stock index futures have the price discovery function, it’s very useful to maintain the stability of the stock market and futures market,and make the market tends to be more mature.In June 2015, there was a serious crash in China stock market. In June 26th, more than two thousand stocks limit, stock index plunged 7.4%, CSI Component Index fell 8.24%, the Shenzhen Component Index fell 8.91%. Two weeks fell one thousand points, down from 5178 to 4139, an unprecedented scale. In mid August on the stock index futures margin and the limit of a single transaction volume has been amended several times by CICC. Under the special situation as the stock market crash, how stock index futures in the price impact will change, is one of the issues of concern and judgment of the stock index futures price discovery function is able to crash in such extreme stable play.Data based on the 2015 CSI 300 index futures contract and the index price of 1 minutes of high frequency data. Research methods in IS model price contribution of quantitative analysis, the Johansen co integration test, VEC model, Granger causality test and impulse response function analysis of the qualitative results as a supplement to carry on the empirical analysis. In view of the stock market crash occurred 2015, specially to divide the data into the crash before after three hours and the data analysis results are compared. Finally, the results of the comprehensive annual data and sub period data are summarized and the reasons are summarized.Annual analysis of the results obtained in the CSI 300 index futures have price discovery function.1-5 month stock index futures price discovery function more significant. But in 6-8 month,9-12 month stock index futures does not have the function of price discovery. Based on the above results, we can draw the conclusion:stock index futures have price discovery function, but in some special circumstances, such as the bull market, policy changes and other factors, and can not maintain stability.