The Pricing Of Stock Index Futures

Stock index futures, reputed as "the most stirring invention in the 20th century", is one of the most important financial derivatives. Its fast development abroad has proved that it is one of the impetuses of the world economy. After China's entry to the WTO, the finance industry has been confronted with high pressure of being geared to international standards, but our financial reform lags behind comparatively for several reasons. Changing present situation means addressing both the symptoms and root causes. And carrying out stock index futures exchange leads to a balance in the stock market, turning single market into double market. Hereby, the introduction of stock index futures is an inevitable choice.Currently, the establishment of stock index futures in China is near at hand, while its pricing is a primary problem for the establishment of the stock index futures market. Beginning with stock index futures and on the basis of the introduction of general concepts, this thesis studies in detail the realistic significance of introducing stock index futures as well as the market environment of establishing stock index futures in China. After focusing on the pricing models of stock index futures in both strong efficient market and weak efficient market, the thesis points out the reasons for their inapplicability in our country. Then, based on cost-of-carrying model for pricing of stock index futures in complete market, and considering the actual conditions of Chinese capital market, the thesis proceeds to give out the reasonable pricing intervals of the stock index futures in China. In addition, it discusses the relational factors influencing the pricing of stock index futures in the market.