Research On The Price Discovery Function Of China’s Stock Index Futures Market

Price discovery is one of the main economic functions of the futures market,which is of great significance to investors in obtaining information and allocating resources.Since its launch,China’s stock index futures have played a good role in price discovery and risk management.However,with the drastic fluctuations of macroeconomic policies at home and abroad,the price discovery level of China’s stock index futures market has also shown a relatively large change.In this context,it is particularly important to analyze the changes in the price discovery level of China’s stock index futures market and explore its influencing factors.To this end,this paper analyzes the dynamic changes in the price discovery level of China’s stock index futures,taking the CSI 300 stock index futures as an example,and empirically examines the relationship between price risk and the price discovery function of futures using implied volatility as an indicator.This paper takes the CSI 300 stock index futures market as the main subject of study,analyzes and constructs a theoretical framework of price discovery process and the role of price risk in price discovery function using implied volatility as an indicator,and uses 1-minute high-frequency data to test the leading-lag relationship between the CSI 300 stock index futures market and the CSI 300 stock index market and the contribution of price discovery in two aspects of CSI 300 stock index futures.The relationship between price risk and the price discovery function of futures is also empirically examined using implied volatility as an indicator.The following conclusions are drawn: the price of CSI 300 stock index futures is ahead of the corresponding spot market,and the change of CSI 300 stock index futures price has a great impact on the corresponding spot market price,and this impact is sustainable;CSI 300 stock index futures are in a dominant position in the price discovery process;the greater the price risk as an indicator of implied volatility,the weaker the price discovery ability.This paper theoretically analyzes the price discovery process and the theoretical framework of price risk as an indicator of implied volatility affecting the price discovery function,which is conducive to the enrichment and development of theoretical research on derivatives markets.The analysis of the price discovery function of futures from two perspectives of leading-lag relationship and price discovery contribution is helpful to verify the market function performance of CSI 300 stock index futures,which helps investors to avoid risks and choose appropriate investment methods.Exploring the price discovery function from the perspective of time at the outbreak and after the outbreak is helpful to understand the changing characteristics of the price discovery function.Exploring the impact of price risk on the price discovery function of futures from the perspective of implied volatility helps to understand the reasons that cause changes in the price discovery function of the market and helps regulatory authorities to regulate and develop the financial derivatives market.