Research On Theoretical Value Evaluation Of CSI 300 Stock Index Futures

The birth of the CSI 300 stock index futures has played an important role in deepening China's capital market and improving financial risk management capabilities.However,with the development of the stock index futures market,the non-convergence of between spot price and future price has become more serious.The lack of short-selling mechanisms in the stock market and restrictions on short-selling in the futures market have also expanded the futures market basis.Therefore,in combination with the actual situation of market,analysis of the Causes for the Convergence of Stock Index Futures and Spot Prices and a reasonable and scientific evaluation of the theoretical value of stock index futures has become an important issue that needs to be resolved in a series of economic work,such as improving the price discovery ability of the stock index futures market,maintaining financial market stability,and better serving the development of the real economy.Compared with traditional financial asset evaluation,the theoretical value evaluation of stock index futures has strong fictitiousness of the value object and particularity of the trading system.At the same time,considering the applicability of traditional stock index futures value evaluation methods in CSI 300 futures market,The interval arbitrage model was selected as the theoretical value evaluation model.In the construction and improvement of the evaluation model,in addition to examining the impact of traditional factors such as trading friction and remaining duration on the theoretical value evaluation of stock index futures,the influence of non-traditional factors such as the seasonal factors and date factors of stock dividends,spot tracking errors,short selling restrictions and capital market sentiment on the theoretical value of stock index futures.In the empirical part,based on the daily trading data of all contracts since the CSI 300 stock index futures were listed,the theoretical value of the CSI 300 stock index futures under the interval arbitrage model considering only traditional factors and the interval arbitrage model improved by non-traditional factors were empirically evaluated.The empirical results show that based on the opening and closing prices of the Shanghai and Shenzhen 300 stock indexes,the accuracy of the evaluation results of the interval arbitrage model considering only traditional factors is 60.28% and 60.85%,and the accuracy of the evaluation results of the interval arbitrage model improved by non-traditional factors is 92.53%,92.19%.The improved model of non-traditional factors is obviously better than the interval arbitrage model which only considers traditional factors.The empirical study also found that compared with the traditional interval arbitrage model,the interval arbitrage model improved by nontraditional factors has stronger self-learning ability,and is more in line with the theoretical logic and actual market conditions,and thus have more good science,reality and flexibility.Based on the research conclusions,it is be suggested that the impact of the financial asset trading market system on the evaluation should be fully considered in the evaluation of futures theoretical values and financial assets values.Combined with "deep learning" and "big data",the "self-learning" ability of the assessment method should be improved to meet the external requirements of financial asset assessment.