The Empirical Research on the Price Discovery Relation between Stock Index Futures and Stock Index

摘要

Stock index futures and stock index usually show their highly positive correlation because they are influenced by the same information. Therefore, they often have the mutual relation of price discovery. In this paper, we focus on the real transaction data of Chinese stock index futures and stock index, and research the price discovery relation between stock index futures and stock index by some econometric methods including Granger causality test, cointegration theory, pulse-response index analysis based on VAR model and variance decomposition analysis. A great leading effect has been found as the stock index futures.