Price Discovery and Volatility Spillovers of Stock Index Futures Markets in China

This paper investigates the price discovery function,the linkages and interactions between the futures and spot markets of Hu-Shen 300 stock indexes with a VEC model,common factor models and a modified bivariate EGARCH model with an error correction.The evidence suggests that there is a long-run cointegration,a short-term bidirectional Granger relationship between the futures and spot markets,although most of the price discovery takes place at the spot markets for the moment and significant asymmetric volatility-spillovers are not found.