中文摘要：

本文首次采用沪深300、上证50和中证500三个品种股指期货与现货的5分钟高频数据，在静态和动态递归协整分析框架下，通过长期弱外生检验、广义方差分解、永久短暂模型以及信息份额模型，从统计和经济显著性两个方面，对我国股指期货与现货的价格发现功能进行全面考察，把握了其时变特征。实证结果表明，三个品种的股指期货与现货具有比较稳定的长期均衡关系。对于沪深300和中证500股指期货与现货，期货价格为弱外生变量的频率都在90％以上，期货引导现货；在剩余不到10％的递归子样本下，期现价格相互引导；而且在所有的递归样本中，期货的价格发现贡献度都高于现货。对于上证50股指期货与现货，期货引导现货的频率达到70％以上，两者相互引导的频率在10％左右，此时，期货的价格发现贡献度高于现货；但在本次股灾期间，同时也出现了现货引导期货、现货价格发现贡献度反超期货的特殊情形。总体而言，我国的股指期货市场正在逐步走向成熟，具备了良好的价格发现功能。

英文摘要：

This paper conducts a comprehensive study on price discovery function of Chinese stock index futures and spot index, and explores the time-varying characteristics from both statistical and economic significance by using long-run weakly exogenous test, generalized variance decomposition, Permanent- Transitory model and Information-Share model. This paper uses 5-minute high-frequency data of CSI 300, SSE 50 and CSI 500 index futures, which is used in this research field for the first time. The empirical result shows that there is a relatively stable long-run equilibrium relationship between the index futures and spot index of these three species. For both CSI 300 and CSI 500, the frequency that the futures price is the weak exogenous variable is over 90%, in which case the futures price leads the spot price, and they lead each other in the remaining recursive samples. Besides, the futures price contributes more to the price discovery than the spot price in all reeursive samples. For SSE 50, the frequency that the future price leads the spot price is greater than 70%, and the frequency that they lead each other is about 10%, in which cases the price discovery contribution of futures market is higher than cash market. However, during the stock market crash in 2015, a special case that SSE 50 stock index leads index futures and the price discovery contribution of cash market overtakes futures market also appeared. Overall, the Chinese index futures market is moving towards maturation, and has good performance in price discovery.