财贸研究
財貿研究
재무연구
Finance and Trade Research
2008年
6期
76~82
,共null页
股指期货 定价 持有成本模型 套利
股指期貨 定價 持有成本模型 套利
고지기화 정개 지유성본모형 투리
stock index futures; pricing; cost-of-carry model; arbitrage
股指期货是一种发展迅速的金融衍生产品，而合约定价问题是其重要研究方向之一。股指期货定价的基本方法是利用无套利定价原理得出的持有成本模型；而如果综合交易费用、融资成本、存贷款利差、俩正金等市场因素，则可以得到股指期货的无套利定价区间。使用这两种模型对中国金融期货交易所的沪深300股指期货仿真交易合约进行实证分析，结果发现，实际交易价格和理论价格有较大偏差，市场中存在大量套利机会，定价效率有待提高。为此可以考虑的建议包括允许融资融券交易、推出沪深300指数ETF等。
股指期貨是一種髮展迅速的金融衍生產品，而閤約定價問題是其重要研究方嚮之一。股指期貨定價的基本方法是利用無套利定價原理得齣的持有成本模型；而如果綜閤交易費用、融資成本、存貸款利差、倆正金等市場因素，則可以得到股指期貨的無套利定價區間。使用這兩種模型對中國金融期貨交易所的滬深300股指期貨倣真交易閤約進行實證分析，結果髮現，實際交易價格和理論價格有較大偏差，市場中存在大量套利機會，定價效率有待提高。為此可以攷慮的建議包括允許融資融券交易、推齣滬深300指數ETF等。
고지기화시일충발전신속적금융연생산품，이합약정개문제시기중요연구방향지일。고지기화정개적기본방법시이용무투리정개원리득출적지유성본모형；이여과종합교역비용、융자성본、존대관리차、량정금등시장인소，칙가이득도고지기화적무투리정개구간。사용저량충모형대중국금융기화교역소적호심300고지기화방진교역합약진행실증분석，결과발현，실제교역개격화이론개격유교대편차，시장중존재대량투리궤회，정개효솔유대제고。위차가이고필적건의포괄윤허융자융권교역、추출호심300지수ETF등。
Contract pricing is one of the most important research directions on Stock Index Futures, which has developed rapidly in recent years. Classical cost-of-carry model for the prices of stock index futures was derived from Arbitrage-free pricing methods. When considering such market factors as transaction cost, financial cost, interest rates and margin, Arbitrage-free Pricing Interval was worked out. The two models are tested with 19 contracts data of CSI-300 Stock Index Futures Emulating Exchange System. It is discovered that market prices are significantly deviated from theoretic prices and there exists a lot of arbitrage opportunities. Thus the market efficiency needs enhancement. Corresponding suggestions include permitting overbought and short sale, and introducing CSI-300 ETF.
