The Empirical Analysis About The Pricing Of CSI300 Stock Index Futures And Hang Seng Index Futures

With the development of stock market, stock index futures have been gradually realized by people. The first stock index futures in China—CSI 300 Stock Index Futures was successfully listed in April 2010 after nearly 30 years’ development, which was a milestone for Chinese capital market. After that, many financial derivatives like CSI 500 Stock Index Futures, SSE 50 Stock Index Futures and Shanghai 50 ETF were successively listed.Stock index futures have the function of price discovery. The price of stock index futures’ contract is generated by call auction, it can reflect expectations for stock market’s future trendency. A large number of empirical analyses by domestic and foreign scholars indicated that the price of stock index futures’ contract was always ahead of that of spot market, and it was helpful to reflect more information about spot market. The hedging function of stock index futures is able to meet market participants’ need of risk hedging. Therefore it’s of great significance to study the pricing of stock index futures.This paper aims at studying the pricing of CSI 300 Stock Index Futures and Hang Seng Index Futures through adopting the imperfect market pricing model and the cost of carry model. Hsu and Wang (2004) showed three kinds of parameter estimation methods for the imperfect market pricing model—implied parameter estimation method, adaptive expectations model and directly parameter estimation method. And implied parameter estimation method is more practical than adaptive expectations model as shown in some existing researches. Based on this, CSI 300 Stock Index Futures which represents emerging stock market and Hang Seng Index Futures which represents mature stock market with the 5-minute transaction data from January 2014 to November 2014 are chosen as the research object in this paper. Compare implied parameter estimation method with directly parameter estimation method which is based on the GK model to get volatility, to find out the best parameter estimation method.Finally, compare different parameter estimation methods and the pricing errors from different pricing models, and it turns out that even we can use volatility of the minimum variance unbiased estimation in directly parameter estimation method, in the imperfect market pricing model, implied parameter estimation method can always get a better estimator than directly parameter estimation method which is based on different volatility estimators. The imperfect market pricing model has smaller pricing errors than the cost of carry model in the pricing of CSI 300 Stock Index Futures and Hang Seng Index Futures.