An Empirical Study on the Price Discovery Ability of CSI 300 Stock Index Futures in the COVID-19 Epidemic

Han Shen

《Frontiers in Economics and Management》 3卷12期 (2022/12) Pp. 159-166

https://doi.org/10.6981/FEM.202212_3(12).0021

摘要

The launch of the CSI 300 stock index futures has given life and vitality to China's financial market, but the outbreak of the COVID-19 epidemic has had an unprecedented negative impact on both the futures and spot market. Based on the 5-minute closing price data of the CSI 300 Index and the CSI 300 stock index futures main contract, the paper analyzed the linkage between the price volatility of the spot market before and after the pandemic to explore the impact of the COVID-19 on the price discovery ability of stock index futures. The results showed that, 1) there is a one-way Granger causality between CSI 300 stock index futures returns and CSI 300 index returns, 2) CSI 300 stock index futures are dominant in price discovery and its price discovery ability has been enhanced after the epidemic; 3) CSI 300 stock index futures has a large and long-lasting impact on the CSI 300 index, and the response of the futures and spot markets to shocks becomes significantly larger after the pandemic.

關鍵字

CSI 300 Stock Index Futures ； Price Discovery ； Granger Causality Test ； COVID-19 Epidemic

參考文獻

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