An Empirical Study on Stock Futures Price Discovery Function——Based on the Spot Index Trend

Price is the main function of stock index futures,functions as the basis of the futures market's existence and development,but also is the premise of futures market's hedging function,and hence has special significance to the futures.China's stock index futures is to be launched,and this paper uses the Hong Kong stock index futures market's data,according to the Hang Seng Index oscillation increasing and declining,using Granger causality test,variance decomposition,the impulse response method to study the lead-lag relationship between stock indices and stock index futures contracts.It concluds that stock index futures have the price discovery function when Hang Seng Index is Oscillation increasing,the cash leads futures,and stock index futures do not have the price discovery function when Hang Seng Index is Oscillation declining.