CAJ | 학술논문

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。
문장운용지유성본모형、무투리정개원리이급회귀분석,분별대일교역수거、일내5분종수거대아국호심300고지기화적정개오차급영향정개오차폭도적인소진행료실증연구,연구표명아국호심300고지기화적개격재대다수시간시편고적,재고필투리성본적정황하,고지기화적정개재대다수시간시유효솔적,단시재고표시장대폭파동적시단,고지기화적정개재존재교대폭도적정개오차。종영향고지기화정개오차폭도적인소래간,거도기일월원정개오차월대,현화지수파동월극렬정개오차월대,고지기화지창량대정개오차몰유현저영향,가식대정개오차적영향근가식일기유관。
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.