Abstract: At present，SSE 50 is the only index in China that has both futures, ETFs and options. This paper uses Granger causality test and cointegration test to analyze the lead-lag relationship and long-term equilibrium between the SSE 50 index, SSE 50 stock index futures, SSE 50 ETF and SSE 50 ETF option markets, and analyze the response of each market by using generalized impulse response function;the lead-lag relationship of the four market price series is analyzed by the significance of the lag term, and the Four-dimensional IS Model is used to measure the price discovery information share of each market. The results show that the prices of the four markets are mutually led and there is a long-term equilibrium, and futures market leads other markets for more than 5 minutes; the information share of the futures market is 47.76%, and the information share of the index market is 23.05%, the information share of ETF market is 15.37%, while the options market is 13.82%. The above results show that the options, futures and ETF market play important role in the price discovery process,futures have the strongest price discovery ability and play a leading role in the price discovery process; SSE 50 ETF options underperform in price discovery,and has the smallest share of information. Also, ETF lags index in the price lead-lag relationship and the share of information. Therefore, the activeness of the derivatives market is conducive to improving the ability of price discovery.

Key words: SSE 50, derivative, price discovery, Four-dimensional VEC Model, Four-dimensional IS Model