关键词: 沪深300股指期货, 价格发现机制, 贡献度测算;分位数回归

Abstract: This article studies stock index futures of long-term and short-term price discovery mechanism using cointegration test, error correction model and impulse response function based on the Shanghai Shenzhen 300 stock index futures 5-minute high-frequency data, and information sharing model and common factor model are used to study contribution of price discovery of stock index futures in China. In addition, quantile regression is used to explore the relationship of future and spot market at different ups and downs. The empirical results show that there is mutual guidance between index futures and spot prices in China market, and the spot market have a bigger role in price discovery in current stage; with the change of ups and downs, the impact of spot on index future showed a U-trend, and the impact of futures on the spot showed a unilateral increasing trend.

Key words: ShangHai ShenZhen 300 Index Future, Price discovery, Contribution Measure；Quantile Regression