Comparative Study On Pricing Model Of Stock Index Futures Between CSI 500 And SSE 50

Stock index futures is an indispensable part of hedging,risk hedging and investment portfolios.Researching stock index futures pricing methods has profound implications for the development of China's financial markets.This article selects No.IC1803,IC1804,IC1806,IC1809 CSI 500 stock index futures and CSI 500 stock index listed on July 2017 to March 2018,and SSE 50 Stock Index Futures and SSE 50 Stocks Nos.IH1804,IH1806 and IH1809.Index as a research object.First,make a time series trend chart of the above data,and see the unsteadiness of the time series data;secondly,use the ADF unit root test to find the lag order of the time series data,then use the Granger causality to test the CSI 500 and SSE 50 Stock Index refers to the correlation between spot and futures contracts.It is found that there is a long-term and stable mutual influence relationship between spot stocks and futures.Therefore,stock index can be used to predict the price of stock index futures;finally,it is used in the conditions of complete market and incomplete markets.The two models perform price prediction and fitting for real data.During the fitting process,it is found that the pricing model under complete market conditions has a poor fitting effect on real data.Therefore,this paper proposes a moving average method under incomplete market conditions as a new parameter prediction method,predicts the expected return rate of the implicit index stock index in the model,and validates the model by analyzing the residual error rate.In the process of fitting,it was found that this method cannot directly see the pricing accuracy of the model.This article introduces the Logistic Regressive model to determine the accuracy of the stock index futures pricing model,which is better than the traditional method of verifying the model error rate.More accurate and intuitive.The results show that IC1803,IC1804,IC1806,IC1809,IH1804,IH1806,and IH1809 fit the real data under the incomplete market condition model,and the effect is better.At the same time,the SSE 500's real data is better than CSI 500,which also shows that the SSE 50 stock index is more representative and more responsive to the stock market and China's financial markets.Therefore,in the pricing of stock index futures,especially for the pricing of the Shanghai 50,it is entirely possible to use the implied yield pricing model under the imperfect market conditions,and the pricing of the CSI 500 stock index futures must be analyzed in conjunction with China's financial policy.