沪深300 股指期货定价误差和影响因素分析.pdfVIP

沪深300 股指期货定价误差及影响因素分析 许自坚 史本山 （西南交通大学经济管理学院，四川 成都 610031） 摘 要：文章运用持有成本模型、无套利定价原理以及回归分析，分别对日交易数据、 日内5分钟数据对我国沪深300股指期货的定价误差及影响定价误差幅度的因素进行了 实证研究，研究表明我国沪深300 股指期货的价格在大多数时间是偏高的，在考虑套利 成本的情况下，股指期货的定价在大多数时间是有效率的，但是在股票市场大幅波动的 时段，股指期货的定价在存在较大幅度的定价误差。从影响股指期货定价误差幅度的因 素来看，距到期日越远定价误差越大，现货指数波动越剧烈定价误差越大，股指期货持 仓量对定价误差没有显著影响，加息对定价误差的影响跟加息日期有关。 关键词：股指期货；定价误差；套利成本 Abstract: The article used cost-of-carry model、no arbitrage pricing principle and regression analysis methods did empirical study about how the daily trading data and the intra-day five minutes data has affected the mispricing of Shanghai and Shenzhen 300 stock index futures respectively. It can be shown from this research that the price of Shanghai and Shenzhen 300 stock index is on the high side most of time in China. It can be suggested that taking the factor of arbitrage cost into account, the pricing of stock index futures is efficient most of the time. However, when the stock market is fluctuating widely, the mispricing of the stock index futures will fluctuate in a wider range. Considering the factor which affects the mispricing of the stock index futures, it can be seen that the farther away from the due date, the bigger the pricing errors can be. Meanwhile, it can also be seen that the wider range the fluctuations of the spot index, the bigger the mispricing can be. Therefore, it can be drawn from this article that the hold number of the stock index futures does not have an obvious impact on the pricing errors, while the rising of interest rates date is strongly related to the pricing errors. Key words: stock index futures，mispricing，Arbitrage cost 作者简介：许自坚，西南交通大学经济管理学院博士研究生，研究方向：投资组合与风 险管理。史本山，西南交通大学经济管理学院教授，博士生导师，研究方向：投资决策 与风险管理。 中图分类号：F830.9 文献标识码：A 研究背景与研究目的 作为我国金融市场的一个重要创新品种，沪深300 股指期货自去年推出以来至今已 经将近一年的时间，虽然股指期货市场总体运行平稳，监管严格，市场交易较为活跃， 期现价格联动性较好，但却因为种种原因，使得现货和期货两市