Research on Price Transmission of HS300 Stock Index between Futures Market and Spot Market

In order to study the interactive guiding relation of HS 300 Stock Index between futures prices and spot prices,this paper makes empirical analysis of 1 320 data in 660 exchange days during April 16th,2010December 28th,2012,and the research results show that there is a cointegration relation of the stock index between futures prices and spot prices,that the change of stock index futures prices has effect on the spot prices after a phase,however,the change of stock index spot prices has effect on the futures prices after two phases,and that there is a weak relation of bidirectional price guidance because the futures prices play a mainly guiding role.