指数期货属于金融产品的一种,由指数现货衍生而来,特征表现为财务杠杆及流动性较高、交易成本较低,在全球期货市场中十分活跃。近年来,我国证券市场发展良好,不断扩大市场规模,为了规避股市风险,推出指数期货,并建立相关的法律法规体系。随着指数期货市场的发展,现货市场可能会受到一定的影响,基于此,本文以沪深300为例,研究指数期货与现货之间的价格发现与波动性外溢。 Index futures, a type of financial product derived from spot cash, are characterized by high financial leverage and high liquidity, low transaction costs and are very active in global futures markets. In recent years, the securities market in our country has developed well and has continuously expanded its market size. In order to avoid the risk of the stock market, it has introduced index futures and established relevant laws and regulations. With the development of the index futures market, the spot market may be affected to a certain extent. Based on this, this paper takes Shanghai and Shenzhen 300 as an example to study the price discovery and volatility spillover between the index futures and the spot.