Empirical Research on Price Discovery Function of Stock Index Futures
International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Call for Papers | Fully Refereed | Open Access | Double Blind Peer Reviewed

ISSN: 2319-7064


Downloads: 120 | Views: 293

Research Paper | Financial Engineering | China | Volume 7 Issue 5, May 2018 | Popularity: 6.7 / 10


     

Empirical Research on Price Discovery Function of Stock Index Futures

Meiling Lang


Abstract: China & #039, s stock index futures market has been running for nearly eight years, and its number of transactions, the number of accounts opened and the amount of transactions have all been improved by leaps and bounds. How the stock index futures guide the development of the financial market, this issue has attracted the attention of many scholars. This article uses the closing price of CSI 300 stock index futures from January 1, 2017 to March 31, 2018 (a total of 287 trading days) as the research object. Applying Co-integration test, vector correction model and Granger causality test to determine whether the stock index futures price and stock index spot price have the guiding function, that is, whether the stock index futures has the price discovery function. The empirical results represent that from a long-term perspective, when the stock index futures price deviates from the spot market price, it is completed through a greater degree of adjustment in the futures market. In the short term, the stock index futures price has a leading lag with the spot price of the stock index. Finally, the results show that the stock index futures price has a price discovery function.


Keywords: stock index futures stock index price discovery


Edition: Volume 7 Issue 5, May 2018


Pages: 1278 - 1284



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Meiling Lang, "Empirical Research on Price Discovery Function of Stock Index Futures", International Journal of Science and Research (IJSR), Volume 7 Issue 5, May 2018, pp. 1278-1284, https://www.ijsr.net/getabstract.php?paperid=ART20182687, DOI: https://www.doi.org/10.21275/ART20182687

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