An Empirical Study On Pricing Error Of Shanghai And Shenzhen 300 Index Futures

Stock index futures have a important role to avoid the risk of the stock market through hedging. Thinking of hedging, the management of basis risk is very important. This paper is mainly about a series of research on the pricing efficiency of Shanghai and Shenzhen300stock index futures, including numerical calculation and statistical features of the mispricing, the selecting process of autoregressive time model, and regression analysis about factors that may affect the mispricing.Firstly, this paper is about statistical analysis of futures contracts’ pricing errors. Afterwards, using time series model and regression method, the factors that affect the mispricing are studied. The results show that, about the HS300stock index futures, the contracts’ pricing errors are mostly positive, and increase with the contract period. According to the current and next month contract, mispricing has some influencing factors, such as the risk-free interest rate, time to maturity, the spot market volatility, the futures market turnover, transaction cost and short-selling restrictions. In addition, the current month contract pricing errors have a linear relationship with futures trading volume, daily trading change and position change.This paper is an empirical study of the HS300stock index futures’ mispricing and the influencing factors, with the condition that China’s market is not mature and participants have special characteristics. Innovation can be seen in3aspects:two situations with or without arbitrage cost, data based on actual transactions, comprehensive thought about many variables. However, the consistency of the data and refinement of investors’ features and other factors may strengthen the improvement in the empirical process.