The Empirical Analysis About The Pricing Of CSI500 Stock Index Futures And The Degree Of Market

After entering 1990s,as the most active futures transaction in the financial market,stock index futures accounted for a large portion of the world’s financial futures trading volume.In order to adapt to the internationalization process of China’s financial market,avoid the stock market system risk, improve investor structure, improve the market mechanism,April 16, 2010 Shanghai and Shenzhen 300 index futures contracts listed in gold, China’s first stock index futures contracts resulting, which makes China’s financial derivatives were more abundant, the investment behavior in the securities market the more diversified.The pricing of stock index futures has always been an important issue for scholars and market participants, and the stock index futures holding cost model is the most commonly used stock index futures pricing model. The cost model is established in the complete market and based on the assumption of no arbitrage, and real capital market is incomplete market, so there exists some deviation between the stock index futures price is calculated by using the theory of holding cost model and the real price; many scholars found that the stock index futures price theory and model for the calculation of the holding cost is generally lower than the true price. Thus, the pricing model of stock index futures under incomplete market is formed.In this paper, the CSI500 stock index futures contracts in recent months as the research object, the historical data from April 16, 2015 to February 17, 2017, The cost model of stock index futures and the stock index futures pricing model in incomplete market are used to study the pricing,through the statistical analysis of the model of pricing results and the actual price, determine which model is better for the CSI 500 stock index futures. The result of empirical analysis shows that the pricing model of stock index futures in incomplete market is better. This paper also calculates the incomplete degree of the CSI 500 stock index futures market, proves the range of market imperfection, relationship between the change of incomplete degree and the value of market risk.