Price discovery in index futures and spot market in China: Based on HS300 stock index futures

This paper adopts the cointegration test, Granger causality analysis, VECM and impulse response analysis to investigate the causal relationship between HS300 index futures market and spot market based on the data of the markets. The result shows that there is a one-way causal relationship between the two markets, the price discovery primarily originates from futures markets and the futures market adjusts to the equilibrium faster than spot market.