A Study In The Facters Have Impact On The Mispricing Of Heng Seng Index Futures

One of the important function of index futures is price discovery. However, the existence of imperfect markets, there is obstruction to the transmission of information, will form the mispricing of stock index futures.The presence of mispricing is not conducive to the realization of market price discovery. In this paper, stock index futures theory prices is derived from Cost-of-carrying model gives rise to the concept of index futures mispricing. On the basis of the relationship between the mispricing of index futures and arbitrage opportunities, the behavior of the mis-pricing features are described. Then the text study the existence of mis-pricing. Then we have a theoritical analysis on the facters which have impact on the mispricing of the Hong Kong stock index.And we find three main impact facters. Last we carry on a empirical test on the various factors that define the general impact,such as U.S. stocks overnight on behalf of external market information delivery, the volatility in index futures market on behalf of macroeconomic information transmission within the local market.expiry effects. In this papei,we use these methods. First, we carry on a stationarity test by ADF on the misprcing time series data. After that, we have a autocorrelation analysis on the mispricing time series. Then, we use AR model filter out the characteristics of the mispricing and get the remaining residual sequence. Followed by an the regression analysis to overnight impact of the return of U.S. S&P 500 index, the volatility of futures price, expiry effect,we examined these three factors on the Hang Seng Index futures pricing error impact.The results found that the effective information transfer between the markets will significantly reduce the size of sequence mis-pricing. The impact of local macroeconomic information is larger. With the expiration date approaches, the mispricing tends to decrease. Expiration effect exists. The empirical results also test path dependence of misprcing also exists.And,in the international financial crisis, the Hong Kong stock index futures market arbitrage opportunities grow.This paper write according to the frame:the second chapter disscus the concept of the mispricing of the stocks index futures and the relationship between the mispricing and arbitrage opportunity. According to the relationship, this paper describe the behaviour of the mispricing. The third chapter carry on a empirical test on the main three facters have impact on the mispricing. The last is conclusion.