| Stock index future is an important derivatives,and HF300index future is the few financial derivative product in the Chinese capital markets. It could be used as a tool of risk aversion in the capital market. Generally speaking, the stock index futures have a function of price discovery and hedging; besides it can be used to improve asset allocation and the flexible of the market. With the help of the futures, the capital markets have attracted huge investable fund and speculative capital. In addition, the stock index future can improve the Chinese capital markets.Chinese capital markers are not perfect. There are few hedging, and traders may have asymmetric information. The traditional model was developed under the assumption of perfect markets and no-arbitrage argument.However, the economy is in inflation. The pricing of real estate increases too rapidly. The governmental policies come frequently, tighten monetary poly, and raise the deposit reverse rate and deposit and loan interest rates. Therefore the National economy has an important effect on the index futures.In the paper, several representative indexes, the market and the interest can be used to reflect the pricing rule of the index futures. For the relation of the explanatory variables is not notable, the paper uses VAR model.The innovation of this article is the influence of the next month contract. In VAR model, the proportion of the domestic economy is biggest. The trend of domestic economy is the same as index future, but the turning point is backward. The EU economy affects the domestic traders’emotion. Therefore, domestic trades can use EU economy to hedge.The frequency of time has an effect on VAR model. In ten minutes, the accuracy of the model is highest. |
