Stock Index Futures Pricing Theory And Empirical Research: A Integrated Fuzzy Approach

In twentieth century eighties, stock index futures first appeared in USA. After nearly thirty years of development, their volume of business transactions significantly more than the spot market's. As an important part of the capital market, stock index futures have been playing an important role in a country's economic development and international financial market system. With the constant development of capital market and the increasing rich of financial products, stock index futures are in the trend of the introduction in China. As the stock index futures investments, CSI 300 stock index futures have been set for the first financial derivatives in China.Now, there are lots of stock index futures pricing models. But because of stringent assumptions and complicated mathematical derivation, it's unavailability for the investors. Thus, it is very important for the investors to how to use the utility's investment pricing methods of determining the index futures market trend and finding investment opportunities.For the will to carry out stock index futures pricing model, this paper relaxed the analysis of the assumptions, used of futures prices and spot prices of mutual influence, selected the impacts of stock index futures in all indices and gave them certain weights to establish stock index futures pricing model. In stock index futures pricing model, we used fuzzy math and other tools to solve the imperfect market and asymmetry information. And we assigned the factor indicators and analyzed them to give an investment advice for investors.The paper included six chapters. The first chapter introduced the topics of significance, the innovation and knowledge of stock index futures. The second chapter was the literature review, introduced futures, stock index futures pricing theory. In the third chapter we proof both spot and futures price movements having a correlation in theoretical and empirical respects. And this proved the feasibility of my method. The fourth chapter was the theoretical part of this article, described the analysis of this hypothesis, analytical methods and analytical tools. The fifth chapter was analysis of CSI 300 stock index futures pricing. In accordance with the proposed method, we selected the impacts of stock index futures and gave them certain weights to establish stock index futures pricing model, assigned the factor indicators and analyzed them to give the price trends conclusion. The final chapter is a summary of the article.