Author(s)

Yangping Xiong and Tingting Wang

Corresponding Author

Yangping Xiong

Abstract

By establishing VECM model and information share (IS) model, this paper compared the price discovery relationship between stock index futures market and stock market in the pre- and post-restriction and relaxation periods of the trading system. The results show that the futures price dominates before and during the trading system restriction, while the stock index price dominates during the restriction period; the policy relaxation helps the futures market to play the price discovery function. Therefore, it is feasible and necessary for the government to relax the policy of trading mechanism. It should continue to be loosely and appropriately loosened. At the same time, the basic system reform should be accelerated.

Keywords

Trading system, Stock index futures, Price discovery, Information share model