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Pricing stock index futures with sentiments

Author

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  • Xie, Yutang
  • Peng, Huan
  • Feng, Ting

Abstract

The non-convergence issue between stock index futures and spot prices has become increasingly prominent, impacting market operations and challenging traditional pricing models. This paper develops a pricing model with sentiments for stock index futures and conducts an empirical investigation based on the actual trading data from 114 futures contracts of China's Shanghai and Shenzhen 300 stock index futures. The findings suggest that integrating the influence of sentiment in the stock index spot and futures markets can enhance the pricing efficiency of stock index futures. The study deepens the understanding of the role of sentiment in asset pricing and provides policy inspiration.

Suggested Citation

  • Xie, Yutang & Peng, Huan & Feng, Ting, 2024. "Pricing stock index futures with sentiments," Finance Research Letters, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000102
    DOI: 10.1016/j.frl.2024.104980
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    References listed on IDEAS

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