An Empirical Research On Stock Index Futures Pricing Based On Chinese Market

That the first stock index futures contracts IF 1005, IF 1006, IF 1009, IF1012 were formally traded on April 16,2010 marked the Chinese capital market had entered a new era. The successful launch of the stock index futures is important with great theoretical significance.Meanwhile Chinese futures market is facing more opportunities and challenges.A lot of facts and studies show that:The development of stock index futures had an important role in promoting the economic development and prosperity of a country.In the emerging market,a good pricing model of stock index futures can guide the operation and the practice of stock index futures.The pricing of stock index futures is an important basis for the investors who judge the future trend of the stock index and act in accordance with the theoretical pricing.Whether arbitrage or hedging, the accuracy of the pricing model can help investors make the right decisions. It also has an significant role in controling excessive speculation, preventing market manipulation, increasing the power of the balance of the market,promoting the market stability, reducing the volatility of the stock market improving the efficiency of the fund and making the security industry suitable to the international market. Thus, the research about the pricing of the stock index futures not only has importantly theoretical significance, but also has practical significance.First, we select the closing prices of IF1108, IF1109, IF1112 and IF1203 that are the CSI-300 index futures trading contracts from CFFEX. Because the relevance of the futures and spot has a considerable impact on the evaluation of the pricing model, we firstly make a measurement test on the relevance of the futures and spot.Secondly, we analyzes the pricing efficiency of the three stock index futures pricing models which are cost of carrying model.arbitrage-free range pricing model in margin trading and stochastic pricing model on the Hushen300 index futures. With the comparative analysis.we conclude that pricing deviations are found and the most suitable pricing model for stock index futures market of China is stochastic pricing model the pricing efficiency of which is superior than the cost of carrying model.We also infer that most of the actual price of stock index futures lie in the arbitrage-free pricing interval,and there are some positive arbitrage opportunities on some trading days.Depending on the results of the pricing efficiency of different pricing models and the relevance of the futures and spot,we made a further research into the pricing deviation of Hushen300 index futures.Three factors were introduced:the length of time to the delivery day, the condition of stock spot market and the volatility of the stock index futures price. A linear regression was constructed in order to find out what are contributing to the pricing deviation. After empirical tests, we found that the effective information transfer between the futures and the spot markets will significantly reduce the size of the pricing deviation. Expiration effect does exist and with the expiration date approaches, the pricing deviation tends to decrease.Based on the above findings, we conclude that in order to make the stock index futures market more stable and the pricing of the stock index futures more reasonable,we may continue to improve the spot market and the fuse mechanism.The purpose of this paper:Firstly, discussion the relevance between the stock index futures market and spot market due to the relevance between them has a considerable impact on the evaluation of the pricing model.Secondly, analyzing the pricing efficiency of the three stock index futures pricing models on the Hushen300 index futures and finding which is the most suitable pricing model for stock index futures market of China currently.Thirdly, attempt to explain the causes of the pricing deviation.Finally, summarizing the results of the study and making the independent views and recommendations on the stock index futures market of China.This paper is written according to the frame:The first chapter introduces the background of the research, current research status,the main content and purpose of this paper and the text structure. The second chapter describes the basis for stock index futures. The creation, the development.the features and the functions of the stock index futures are described specifically. The third chapter focuses on the relevance between the futures and the spot. After an empirical test, we found that: the prices between Husheng 300 index futures and spot are highly relevant while the magnitude of the price change of the futures is significantly larger than the spots'. There is a two guide-way causal relationship between stock index futures and the spot The fourth chapter in this paper concentrates on finding out what are contributing to the pricing deviation. The length of time to the delivery day, the condition of stock spot market and the volatility of the stock index futures price are introduced. After empirical tests using a linear regression model, we found that the effective information transfer between the futures and the spot markets will significantly reduce the size of the pricing deviation and the longer the maturity date is, the more serious the pricing deviation is.The last chapter based on the above studies, we conclude that in order to make the stock index futures market more stable and the pricing of the stock index futures more reasonable,we may continue to improve the spot market and the fuse mechanism.