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The Relative Position of Stock Index Futures Pricing and the Test of Its Predictive Ability |
ZHENG Zhenlong,QIN Ming |
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Abstract In this paper, we use HS300 stock index futures for this study. After obtained the futures’ theoretical pricing range with no-arbitrage pricing theory, we figure out an index called the relative position of stock index futures pricing with actual price of futures. Then we use basic regression model to examine its predictive ability on basis and yield of HS300 stock index futures. We ultimately get the following conclusions: changes of actual price of futures between its theoretical pricing range are partly affected by sentiment; the relative position defined in this paper has well predictive ability on basis of HS300 stock index futures, but not on yield.
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Received: 03 June 2014
Published: 15 January 2015
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Corresponding Authors:
ZHENG Zhenlong
E-mail: zlzheng@xmu.edu.cn
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