Research On The Price Discovery Function Of Stock Index Futures In China

As one of the most important functions of Stock Index Futures,Price Discovery Function has draw a great attention to scholars,and its research methods are also emerging.But China Stock Index Futures Market developed relatively late,only in recent years,it has been gradually mature and stable.CSI 300 Stock Index Futures listed on April 16,2010,while CSI 500 Stock Index Futures was launched on April 16,2015.Therefore,The domestic researches about the relationship between Stock Index Futures and Stock Index are less,This article is setting in the market crash of 2015,Studies the Price Discovery Function of China's Stock Index Futures before and after 2015,In June 2015,CSI 500 Stock Index Futures listed only more than 1 month,and the Stock Market Crash suffered heavy losses,Public agrued that the New Stock Index Futures has pull through the Chinese Stock Market.After August 25,2015,the China Financial Futures Exchange issued a continuous notice,which restrict stock index futures transaction from the margin,fees and other aspects,On February 16,2017,CICC issued a document to relax the stock index futures again.Based on the 1-minute high-frequency data and daily data,this paper analyzes the price series and trading volume data of CSI 300 Index,CSI 500 and its corresponding stock index futures.Method by the begining on June 1,2015,Futures restrictions on September 7,2015 and the stock index futures to relax on February 17,2017,The time is divided into four periods:before the stock market crash,while the Stock Index Iutures,after the Stock Index Futures limited,and after the relaxation,compared the strength of the Stock Index Futures Price Discovery Function in the extreme situation and under the normal circumstances,the changes of the Stock Index Futures in the case of limited or not.This paper analyzes the price guidance relationship between Stock Index Futures and Stock Index,and establishes the VEC model.Based on this,the Granger causality test,impulse response and variance decomposition method are used to test the results.Stock Index Futures and Stock Index does exist between the two-way price guide relationship,and Stock Index Futures for the new market information response speed was extremly faster than the stock spot.Then it analyzes the trading volume data of Stock Index Futures and Stock Index explores the dynamic influence relationship between Stock Index Futures and stock trading volume,and finds that the trading volume of Stock Index Futures also leads to the change of stock trading volume.And then use the durable-short model(PT model)and the information share model(IS model)to quantify the price discovery function of stock index futures and stock index,and the results of CSI 300 Index Futures and CSI 500 Index Futures show their price discovery contribution more than 50%,that is,in the Chinese Stock Market,Stock Index Futures play a leading role on the stock price,erved an unique price discovery function,role and based on the empirical conclusions,puts forward the corresponding countermeasure proposals.The improvement of the Market needs the supplement of Stock Index Futures market,and learn from the experience of foreign markets,the use of its advantages to promote the stock market,the spot market prosperity.