Study On Price Discovery And Volatility Spillover In CSI300?CSI300 Future And CSI300 ETF Market

In May 2012,CSI300 ETF was launched in the domestic market,the first crossmarket ETF fund which keep track of CSI300.For the first time,our country finally has two related derivatives with the same underlying asset at the meantime: CSI300 future and CSI300 ETF.It's easy for investors to trade the index at low cost which make it convenient to arbitrage cross market and averse the investment risk.This new derivative accelerates the development of the native capital market.As a result,it is necessary for us to study the lead-lag relationship and the volatility spillover effect among them in order to assist investors in developing investment strategies.This paper begins with the introduce on basic theory of price discovery and volatility spillover effect,and then I adopt the Vector Error Correction Model,Information-Share Model and non-parametric volatility estimated method to analyze the process quantitatively of price discovery and volatility spillover effect with 1 minute high-frequency data.(1)CSI300 future market leads the process of price discovery,who shows the movements ahead of the market of ETF and Index 6 minutes and 3minutes respectively.However,there isn't obvious priority between ETF and spot market as much as what has happened in CSI300 future market.Spot market has the edge on ETF market less than 1 minute.(2)And then we talk about the contribution rate of each market in the formation of price.Between the future market and spot market,the contribution rate is 73.58 percent while 78.15 percent compared to ETF market.When it comes to ETF market and spot market,the contribution of the later is 60.89%.This is to say,CSI300 future market offer the main information share for the common factor determining the price,Index market is the secondary,and the last one is ETF market.(3)According to the empirical result of volatility spillover effect,we know distinctly that information is delivered from CSI300 future market to spot market and ETF market.While extremely abnormal circumstance is happening in the market,the retroaction capacity of spot market is better than CSI300 future market.