Comparative Study On The Pricing Efficiency Of Stock Index Futures Between China And The US And Singapore

As an important financial derivative,stock index futures has played a series of important roles in value discovery,hedging,risk hedging and asset allocation in the capital market since it was produced in the United States in the 1980 s.The pricing of stock index futures is the focus of all market participants.An effectively priced stock index futures market can more effectively play the role of risk management and enhance the completeness and robustness of the capital market.In April 2010,China officially opened the local stock index futures market and launched the CSI 300 stock index futures.Due to the short opening time of the market,the current stock index futures market in China is not perfect,and the research on the pricing efficiency of the stock index futures market is still an important issue.This paper selects the CSI 300 stock index futures listed in China,the US mini S&P 500 stock index futures and the Singapore FTSE China A50 stock index futures as research samples.Firstly,using the no-arbitrage interval pricing model to study the pricing efficiency of the above three stock index futures markets,analyzing the problems existing in China's stock index futures market.Secondly,the least squares regression model was constructed to further analyze the reasons for the low pricing efficiency of CSI 300 stock index futures.The stock spot index and stock spot yield were used as factors to construct a regression model,some suggestions are put forward to improve the stock spot market and stock index futures market in China.The results show that:(1)Compared with the US and Singapore markets,China's stock index futures market has lower pricing efficiency.(2)The problems in China's stock index futures market include lower market liquidity,higher trading margin ratio,imperfect market short selling mechanism,higher trading threshold.(3)The large fluctuation of the stock index's spot yield is an important reason for the low efficiency of stock index futures pricing.That is,when the spot stock yield of the stock index fluctuates greatly,the pricing efficiency of the stock index futures market will be significantly reduced.At the end of this paper,we put forward corresponding countermeasures from the perspectives of respecting the market law,strictly supervising the main body and behavior of the stock market,perfecting the protection system for small and medium investors,perfecting the short-selling mechanism of the stock market,lowering the threshold limit of stock index futures trading,and stabilizing the margin ratio of stock index futures trading.