Research On Price Discovery Function Of China's Stock Index Futures And ETF Funds

Since the listing of the SSE 50 Index Futures on April 16,2015,the above certificates 50 and the CSI 300 Index have been the derivatives market for the underlying index futures and ETF funds.Index futures and ETF funds have become an indispensable part of financial markets as an important index derivative.The SSE 50 index,as a typical high-quality blue-chip stock symbol in the Shanghai market,can better portray the overall performance of the Shanghai stock market;the Shanghai-Shenzhen 300 index covers two markets in Shanghai and Shenzhen,and its changes can better portray the entire A-share market.Quotes.Since the domestic index futures and ETF fund markets started relatively late,in order to verify the efficiency of the two markets,the research object selected in the article is the index futures,ETF funds and index stocks with the above certificate 50 and the CSI 300 Index as the subject.The 5min high frequency data validates the overall operational efficiency of the domestic index and ETF fund markets based on the perspective of price discovery function.Through the comparative analysis of the empirical results of the price discovery function,we find out the shortcomings of China's index futures and ETF fund markets.And to put forward corresponding policy recommendations for perfecting the two markets.As an important function of index futures,price discovery function plays an important role in measuring the effectiveness of market operations.In addition,ETF funds can be quickly reflected in prices when new information emerges because of their low transaction costs,high transparency,and dual transaction mechanism.To make it an advantage in the function of price discovery.The article first introduces the basic situation of index futures and ETFs,and then summarizes the existing theoretical literature on the price discovery function of index futures and ETF funds,and proposes the theoretical basis for the study of this paper;Descriptive statistical analysis is carried out to provide an intuitive understanding of the statistical indicators such as the mean and variance of the selected data.Then use the econometric model to study the price discovery function between the two sets of different data.The measurement model used is based on the ADF test to construct the VECM model through cointegration analysis and combine the Granger test,impulse response function and variance decomposition analysis.Methods to carry out empirical research on the issues;using the above models,the ability to conduct price discovery on 5min high-frequency data of futures,ETF funds and index stocks with the CSI 300 and SSE 50 Index as the subject is studied,on the basis of empirical evidence.Through the comparative analysis of the conclusions obtained,the use of price differences between the two different markets to analyze the similarities and differences in China's stock index futures and ETF fund market operating efficiency.Through empirical analysis,it is found that in the long-term,the ability of the China Futures Index,the ETF fund and the spot price of China's future index,ETF fund and spot price represented by the Shanghai Stock Exchange Index and the Shanghai-Shenzhen 300 index are spot,index and ETF funds;in the short term,their abilities are strong and weak.Followed by the index,ETF funds and spot;whether in the long-term or in the short-term two different variables between the two sets of two variables between Granger causality.However,by comparing the mature market analysis,it is found that the role of index futures and ETF fund market is not obvious in the long term,so it needs to be further improved,and analyzes existing issues in investor structure differences,transaction costs,and transaction restrictions.Suggestions were made to optimize investor structure,reduce transaction costs and improve trading restrictions.