The Empirical Research of China's Stock Index Futures Price Discovery Function Based on High Frequency Data

Juan-Juan Tang ； Yang Wang

《管理科學與統計決策》 9卷4期 (2012/12) Pp. 48-55

https://doi.org/10.6704/JMSSD.2012.9.4.48

並列摘要

To examine the price discovery ability between the stock index futures market and the stock index spot market in China, the every five minuteps high frequency data of Hushen 300 index futures and the Hushen 300 index are investigated empirically. This paper uses co integration test, error correction model, impulse response and variance decomposition to research the relationship between the future market and spot market, the result shows that the futures price leads spot price, while spot price has little effect on the futures price. In the impulse reflection aspect, the response speed of the stock index to the stock index futures is quicker and the response times is permanent. The variance decomposition shows that futures price leads spot price. The price discovery ability of the stock index futures is stranger and has a dominant status in information transmission and is a mainly force in price discovery process.

並列關鍵字

Stock index futures ； Price discovery ； Leading relationship

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