An Empirical Study on the Price Discovery Function of Share Price Index Futures——Taking CSI 300 Index as an Example
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Over the period from 2015 to 2022, China has gradually gave several permissions to stock index futures trading to relax trading restrictions and guided a wide range of institutional investors to participate in the derivatives market. However, the point is whether stock index futures have played a price discovery function during this period. In this paper, the daily time series data of CSI 300 stock index futures from 2020 to 2022 are selected to examine whether stock index futures have a price discovery effect on the spot market after the Covid-19 epidemic. Through empirical research, it is found that the return of the CSI 300 spot price index is the Granger cause of the return of the futures price index, and CSI 300 spot price index returns have a significant positive impact on futures price index returns, which is not a lagged effect but rather a consequent impact at that moment. Moreover, the CSI 300 spot price index returns can well explain the changes in the futures price index returns, but the futures price index returns cannot explain that of the spot, which indicates that the price discovery effect is not significant. It suggests that the CSI 300 index futures do not provide the price discovery function after the Covid-19 epidemic, based on which suggestions would also be put forward in the paper.
Stock index futures; Price discovery function; CSI 300; Vector autoregressive model