上海财经大学学报
上海財經大學學報
상해재경대학학보
Journal of Shanghai University of Finance and Economics
2007年
3期
68~75
,共null页
股指期货 定价 套利 交易所交易基金 卖空
股指期貨 定價 套利 交易所交易基金 賣空
고지기화 정개 투리 교역소교역기금 매공
stock index futures; pricing; arbitrage; ETF; short selling
中国金融市场即将推出沪深300股票指数期货。本文吸收和借鉴了国外的研究成果,深入探讨了股指期货的定价问题,包括什么是股指期货的定价模型、股指期货价格均衡的条件、无风险套利的实例分析、股指期货价格背离的原因以及为消除价格背离应采取的若干对策。经过充分的论证,本文明确提出了中国证券市场应尽快推出沪深300指数交易所交易基金(ETF),并适时引入股票卖空机制的建议。
中國金融市場即將推齣滬深300股票指數期貨。本文吸收和藉鑒瞭國外的研究成果,深入探討瞭股指期貨的定價問題,包括什麽是股指期貨的定價模型、股指期貨價格均衡的條件、無風險套利的實例分析、股指期貨價格揹離的原因以及為消除價格揹離應採取的若榦對策。經過充分的論證,本文明確提齣瞭中國證券市場應儘快推齣滬深300指數交易所交易基金(ETF),併適時引入股票賣空機製的建議。
중국금융시장즉장추출호심300고표지수기화。본문흡수화차감료국외적연구성과,심입탐토료고지기화적정개문제,포괄십요시고지기화적정개모형、고지기화개격균형적조건、무풍험투리적실례분석、고지기화개격배리적원인이급위소제개격배리응채취적약간대책。경과충분적론증,본문명학제출료중국증권시장응진쾌추출호심300지수교역소교역기금(ETF),병괄시인입고표매공궤제적건의。
China's financial market will be introduced Stock index futures in the near future. Based on absorbing and taking advantage of this area's research productions in abroad, the paper discussed the pricing issue of stock index futures, including the pricing model, noarbitrage condition, risk-less arbitrage example, reasons of price difference, and the advice for solving the price difference. Through detailed discussion and demonstration, the paper contributes some proposals to China' s financial market, such as introducing Stock index ETF, releasing the ban of short selling if possible, and so on.