The relation between index futures intraday price discovery and exchanges regulations

This study investigates intraday price discovery between the Chinese stock index market and the CSI 300 index futures market, and examines the relation between index futures intraday price discovery and exchanges regulations using Granger Causality Method, Johansen cointegration analysis and Vector Error Correction Model (VECM). The research on price discovery has divided into three stages according to China Financial Futures Exchanges´ regulations. Minute by minute data showing that the movements of the two markets are interrelated. The CSI300 index futures was not dominant in the price discovery process in its infancy stage after futures market launched, but the futures market plays a more and more important role after an effective control on over-speculation by CFFEX. The supervision measures give a significant effect on market maturing.