An Empirical Study On The Influencing Factors Of Stock Index Futures Pricing Error

In April 2010,China officially launched the first stock index futures,the Shanghai and Shenzhen 300 stock index futures.The introduction of stock index futures plays an important role in China's capital market.The key to the study of stock index futures is its pricing.However,due to the short development time of China's stock index futures,the study on the pricing of stock index futures is not perfect.This paper takes Shanghai and Shenzhen 300 stock index futures as the research object.First of all,this paper selects three pricing models of the stock index futures,which are the cost carry model,the arbitrage-freerange pricing model and the stochastic interest rate pricing model.Taking the stock index futures contract IF1508,IF1510,IF1511,IF1601,IF1602,IF1604,IF1605,IF1707,IF1708 and IF1710 as samples,we choose three pricing models with higher pricing efficiency.We divide the stock index futures market into falling stage,rising stage and stationary stage.We use the selected model to study the pricing errors in different market periods and the different factors that affect the pricing errors.The results show that the stochastic interest rate pricing model is more suitable for the pricing of China's stock index futures market,and its pricing efficiency is better than the cost of carry model and the arbitrage-free range pricing model.When the market is in the rising stage,the stage of falling and the stable stage,the influence of each factor on the pricing error is the same,but the specific influence degree is different.