An Empirical Study On The Relationship Between CSI 300 Stock Index Futures Price And Spot Price

The stock index future is one of the most profound innovations in global financial history and is also an important and effective financial derivative instrument to circumvent investment risks and hedging in many mature capital markets.China's stock index futures market has been running for 7 years since CSI 300 stock index futures were launched in 2010.During this period,stock index futures market has enriched China's financial derivatives and promoted the capital market to become more perfect.But because its development is hysteresis,the market continues to appear some controversy.Many scholars both at home and abroad have studied this controversy and explored the relevant issues: What kind of relationship between the price of stock index futures and the price of spot? Does stock index futures market play the role of price discovery effectively? It exacerbates the market fluctuations or reduces the volatility?Based on the Johansen cointegration test,Granger causality test,impulse response analysis,VEC model and IS model,this paper uses the high-frequency data of CSI 300 stock index futures and spot from June 1,2014 to June 1,2015 to study the relationship between the price of stock index futures and the price of spot,in order to provide traders and regulators with the theoretical basis and reference information.The results are as follows.The cointegration test shows that there is a cointegration relationship between the price of CSI 300 stock index futures price and the price of spot,both of which maintain a long-term equilibrium on the price.The Granger causality test method shows there is a two-way Granger cause between the two vectors.The impulse response analysis shows the stock index futures market responds to the impact of new information more quickly than the spot market,also can more quickly absorb it.In the use of VEC model to explore the leading lag between the price of CSI 300 stock index futures and the price of spot,it is found that there is a two-way relationship between them and the guidance capacity of stock index futures market is stronger than the spot: the spot market leading futures market for 15 minutes,the futures market leading spot market 20 minutes.We can also see that when there is short-term price imbalance,the correction capacity for short-term price imbalance of stock index futures is greater than the spot.Finally,the paper establishes the information share model based on the VEC model,finding that the price contribution of CSI 300 stock index futures is greater than the spot,which indicates that the former is dominant in the price discovery.In summary,the empirical results of this paper show that in the China's stock Bull market from 2014 to 2015,there was a two-way relationship between the price of the CSI 300 stock index futures and the price of spot,but the guiding ability of the former is much stronger.At the same time,the CSI 300 stock index futures market played its price discovery function significantly,showing excellent pricing efficiency.