| In the past 20 years, the dealing number and impact of the stock index futures on the world finance market has grown very rapidly, which has been the most successful futures in the world. Also, 2008 will become the first year of stock index futures in China. To stock index futures, whether arbitraging or hedging, the accuracy of the pricing model is the prerequisite. Therefore, discussing the pricing models of stock index futures on the stock index futures market of China is important with great realistic significance.Paper starts from the theoretical basis and the general development of stock index futures with the method of the theoretical and empirical analysis. Then it analyzes the pricing efficiency of the three stock index futures pricing models on the Hushen300 index futures and the Hang Seng Index futures .With the comparative analysis, it gets the most suitable pricing model for stock index futures market of China currently.First of all, paper takes a measurement test on the correlation of the futures and spot, as in the pricing of stock index futures, the relevance of the futures and spot has a considerable impact on the evaluation of the pricing model. Secondly, the paper uses the cost of carry model, range model and stochastic pricing model to get an empirical research on Hushen300 and Hong Kong's Hang Seng stock index futures contracts with the error ratio of price to analyze the pricing efficiency of each model for different markets. Finally, it gets the conclusion that whether in the mature market just as the Hang Seng index futures or the immature market like the Hushen300 index futures, random model has the best pricing efficiency, and in the Hushen300 index futures pricing, the efficiency of this model is superior to the cost carry model and the range model. On this basis, paper summarized the results of the comparative study and gives out the independent views and suggestions on the stock index futures market of China. |
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