Stock Index Futures Pricing Error And Information Transmission Under The Heterogeneity Investors

Traditional theory tended to assume that market arbitrage is homogeneous in the study of stock index futures, so that the arbitrage costs, arbitrage conditions and arbitrage strategies are same, but in reality, in addition of the commission, dominant transaction costs and the cost of the bid-ask spread, etc., arbitrage costs also include the opportunity costs, market friction and other hidden costs brought about by capital constraints, and these costs will vary due to arbitrageurs, so the research shouldn’t be simply assume that the arbitrageurs are homogeneous.This study based on assumption that arbitrage traders are heterogeneity, we assume that arbitrage costs and arbitrage conditions are different, and study China’s CSI300stock index futures market. Taking into account the difference between China’s CSI300stock index futures markets and the developed countries’stock index futures market in Europe and the United States, CSI300stock index futures market has a single trading species, the late start of program trading, the market environment for investment and traders have a poor quality, inadequate legal regulations, higher transaction costs, irrational price behavior in current stage of development. on the basis of foreign research results, combined with the actual situation of China’s stock index futures market, we analysis of the characteristics of China’s stock index futures pricing error from the theoretical and practical combination, as well as on the spot market pricing error response and price adjustment mechanism, and found that the mean reversion of the CSI300index futures pricing errors is caused by not only arbitrage but index frequent trading; stock index futures market will be lead of the spot market to respond to pricing errors and the magnitude of response was greater than the spot market; the influence of negative pricing errors on the market is greater than the impact of positive pricing errors.This study further clear the understanding of the stock index futures price adjustment mechanism and the market reaction mechanism, and also has some inspiration for arbitrageurs to construct arbitrage portfolio. On the one hand it helps market regulatory authorities to understand the reaction of the two markets to pricing error information and the futures market price discovery function, it also plays a reference for the regulatory authorities to develop appropriate policy recommendations as well as the improvement of the market trading mechanism; on the other hands it allows investors a clear understanding of the reaction speed of the spot market pricing error information and help to develop the right investment strategy. This study focused on the response of the spot market and future market to pricing error information.