An Empirical Study On CSI300 Index Futures Price Discovery And Volatility Spillover

China launched the stock index futures in 2010, which has a very important significance in the history of China's capital market, marking the capital market gradually becoming mature. Price is the most important information element in financial market, and it is the most sensitive financial variable to reflect the supply-demand relationship. Price discovery is the most significant role of stock index futures, so we can analyze and judge the efficiency of the market by researching this function. Volatility spillover is the interaction between the volatility of different markets or financial assets. By studying the effect of volatility spillover, we can understand the situation of different financial markets and know the risk transmission between the different markets. By studying the effect of volatility spillover, we can improve the ability to identify risks of investors, and promote the investors make more rational investment decisions, so that the main body of market will gradually becoming more professional and rational.Through the study, this paper found:there is a mean return phenomenon in the spot market and futures market, that is to say the spot price and the futures price can't always rise or fall, and the price would fluctuate around the value; the futures market and the stock market has the function of price discovery, but the contribution is different, futures market plays a major role in the price discovery process; the volatility clustering exists in the two markets, that is to say the "big fluctuations" tend to follow the "big fluctuations", "small fluctuations" follows by a "small fluctuations"; the volatility of futures market and spot market are interactional, the volatility spillover phenomenon between the two markets really exists in spot market and futures market.According to the results of empirical research, this paper puts forward the following suggestions:(1) making the margin trading more perfect; (2) strengthening the efforts of managing the index futures market; (3) strengthening the supervision of financial innovation; (4) improving the investment abilities of investor; (5) pushing forward the reformation of the financial system.