Price discovery is a major function of the stock index futures market, that is, the futures market has the ability to provide price information of the underlying assets. The price of stock index futures reflects investors' expectations of the stock index at a certain moment in the future. Because the required margin is low, the transaction cost is low and the liquidity is excellent. Once the information affects investors' expectations of the market, it will be quickly reflected in the futures market and transmitted to the spot market, so that the spot market price can reach equilibrium. In fact, the stock index futures market reflects investors' information or expectations of future stock index trends into futures prices through low-cost and high-liquidity transactions.

2. Stagnation period

The lag period of information transmission from the futures market to the spot market can be divided into long-term and short-term, which is related to the type of information and the expectations or judgments made by investors based on information. For example, when clear information (such as interest rate hike, stamp duty adjustment, etc. ), the lag period from the futures market to the spot market is short, and even the two markets react almost simultaneously; However, for some vague information (such as expectations of regulatory policies, changes in macroeconomic situation, etc.). ), the delay period of transmission may be longer.

For small and medium-sized investors, the price discovery mechanism of stock index futures for clear information cannot be transformed into a realistic operational strategy for investors, because compared with fund and institutional investors, small and medium-sized investors are at a disadvantage in information acquisition and trading speed. Comparatively speaking, small and medium investors can easily use stock index futures to operate the price discovery mechanism of fuzzy information. Due to the leverage of futures market transactions, compared with the spot market, the futures market is more sensitive to information and will respond in time when fuzzy information appears.