中文摘要：

自沪深300股指期货推出以来,其对股票市场的影响,特别是其价格发现功能,已成为研究者关注的热点。以5分钟高频数据建立向量误差修正模型,并通过IS和PT模型分析股指期货与现货指数各自在价格发现中的贡献度,结果表明：股指期货与现货指数之间存在长期的协整关系,在价格发现过程中股指期货占据主导地位。

英文摘要：

To examine the price discovery ability between the CSI300 stock index futures market and the underlying spot index in China,the author uses 5 minute high frequency data to establish vector error correction model,analyzes short-term and long-term price discovery between CSI300 stock index futures and the underlying spot index,and adopts IS and PT models to calculate their information share.The empirical results show that there exists longterm cointegration relationship between stock index futures and the underlying spot index,and futures are more likely to occupy the dominant position in price discovery,which can also be proved by the contribution of price discovery.