The Impact of Restricted Measures on Price Discovery in Stock Index Futures:Evidence from CSI 500 Stock Index Futures

摘要

This paper compares the impact of restricted measures on CSI 500 stock index futures market and its underlying spot market.It uses vector error correction(VECM)model and common factor analysis method to study the differences between the two markets before and after the restricted measures was implemented.This paper analyzes the price discovery function through three aspects,i.e.,response to new information,price ratio of new information,and price discovery contribution degree of two markets.Based on empirical results,it is clear that group one in the period of April 17th to September 2nd has an obvious price discovery function.However,group two in the period of September 7th to December 31th does not have.The result shows that stock index futures do have price discovery function to some extent.However,due to the impact of restrictive policies,the spot market price contribution may exceed the futures market in some special time periods,which implies that the price discovery function of CSI 500 stock index futures market is not stable.