The Stock Index Futures Pricing In Imperfect Markets

Stock index futures is a futures contract based on stock price index,it came out later but developed very rapidly among of the financial futures. Whether arbitrage or hedge, reasonable futures pricing is very important, so the stock index futures pricing model is of great significance for the development of China’s emerging stock index futures market.The empirical test show that the pricing expectation model is more suitable for Hs300index futures market by the statistical theories and methods.First of all, the paper analyzes the methods of parameter estimation including the implicit estimation,adaptive expectations estimation and directly estimation method, it adopts the HS300index closing price of the second nearest month futures, the parameter estimation of the price expectation model at the imperfect market has carried on the empirical analysis, according to the absolute error,we compared the estimation effect of the different parameter estimation methods.The empirical results show that the implicit estimation method has the minimum relative error and the best effect.Then, the thesis describes the cost-of-carry model, the stochastic interest rate model,the general equilibrium model at the assumption of perfect futures market and the price expectation model under the imperfect markets.Meanwhile,the paper carries on the empirical analysis on the HS300index contract, and compares the relative error of different pricing models.The empirical results show that the price expectation model has the best effect on pricing of index futures contracts, the theoretical price and the actual price deviation is minimal.Finally,this study estimates the degrees of market imperfection for HS300index futures markets and empirical tests regarding the relationship between the degree of market imperfection and futures pricing.The empirical results indicate that larger market imperfections are relatively more mispriced based on the model of perfect-market assumption.