沪深300 ETF上市对股指期货价格发现功能 动态变化的影响：考虑交易机制变化

This paper studies the impact of the CSI 300 exchange traded funds (ETFs) on the price discovery dynamics of stock index futures. This paper adopts the rolling-window estimation of cointegration test, permanent-transitory model (PT), information share model (IS), modified information share model (MIS). The results illustrate the great changes of price discovery ability of CSI 300 index futures since it begins to show some price discovery ability 1 year after launched. Moreover, the cointegration relationship between CSI 300 index futures and stock index does not exist in several periods. The results of regression models provide some evidence that the trading of CSI 300 ETFs can improve the price discovery ability of index futures. When the regulatory authority deregulation of position limit and trading margin of stock index futures, the price discovery ability of stock index futures become enhanced. When the regulatory authority lowers the barriers of short selling and margin trading of stock market, the price discovery ability of stock market increase. The results support the hypothesis that index ETFs can facilitate arbitrage trading of stock index futures, thereby enhancing the price discovery ability of stock index futures.