Empirical Research on the Price Discovery of CSI300 Stock Index Futures

To examine the price discovery ability between the CSI300 stock index futures market and the underlying spot index in China,the author uses 5 minute high frequency data to establish vector error correction model,analyzes short-term and long-term price discovery between CSI300 stock index futures and the underlying spot index,and adopts IS and PT models to calculate their information share.The empirical results show that there exists longterm cointegration relationship between stock index futures and the underlying spot index,and futures are more likely to occupy the dominant position in price discovery,which can also be proved by the contribution of price discovery.