Optimization of Non-arbitrage Interval Pricing Model of Stock Index Futures and Arbitrage Analysis of SCI 300 in the Context of COVID-19

Yihan Xu ()
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Yihan Xu: Shandong University

A chapter in Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022), 2022, pp 182-190 from Springer

Abstract: Abstract Stock index futures are important investment assets for small and medium investors. Under the impact of the COVID-19, the stock index futures market has been seriously impacted. The traditional non-arbitrage interval model of stock index futures has also been affected, and the pricing efficiency has been reduced. This paper introduces investor sentiment variables to improve the non-arbitrage interval pricing model under the background of the COVID-19, which improves the pricing accuracy by 30.05% and reduces the profit margin of single arbitrage. Based on the above research, this paper puts forward some suggestions for small and medium-sized investors’ investment decisions in stock index futures.

Keywords: COVID-19; CSI 300; Non-arbitrage interval; Investor sentiment (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-052-7_22

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DOI: 10.2991/978-94-6463-052-7_22

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