Price discovery in the CSI 300 Index derivatives markets
基于1分钟高频数据，用非参数非线性热最优路径法研究沪深300指数及其衍生品（期货、ETF、ETF期权）的价格发现能力，发现期权最强、期货次之、ETF最弱，且价外期权能力最强，杠杆是重要影响因素。
Abstract The price discovery in finance markets has been the focus of many researches. On the basis of 1‐min high‐frequency returns, this paper sets out to examine the dynamics of price discovery between the China Securities Index 300 index and its derivative products: the futures, the index exchange‐traded fund (ETF), and the ETF options. Nonparametric nonlinear method thermal optimal path method is adopted in this study. The empirical evidence shows a clear difference in price discovery ability concerning the three products under investigation, and their rank (sorted by strength) can be presented as options, futures, and ETF. In addition, the leading phenomenon has been verified by the regression method. Furthermore, we find that out‐of‐the‐money options have the strongest price discovery ability among different moneyness option contracts. On this basis, we find that leverage is an important factor affecting the ability of price discovery.