CAJ | 학술논문

股指期货在风险管理、提高市场有效性方面具有重要作用，而运用股指期货的基础是对其进行合理的定价。借鉴Helmet和Longstaff（1991）利率和市场随机波动条件下股指期货的一般均衡定价模型，可结合马尔可夫状态转换模型对沪深300股指期货的定价进行实证分析。研究发现：（1）沪深300上市公司股利发放具有很强的季节性，对沪深300股指期货价时应选择时变的股利收益率；（2）股指的波动率对股指期货价格有显著的解释力，验证了一般均衡模型所考虑的股市波动率应纳入到股指期货定价中；（3）股指期货一般均衡模型较持有成本模型更适于沪深300股指期货的定价。
고지기화재풍험관리、제고시장유효성방면구유중요작용，이운용고지기화적기출시대기진행합리적정개。차감Helmet화Longstaff（1991）리솔화시장수궤파동조건하고지기화적일반균형정개모형，가결합마이가부상태전환모형대호심300고지기화적정개진행실증분석。연구발현：（1）호심300상시공사고리발방구유흔강적계절성，대호심300고지기화개시응선택시변적고리수익솔；（2）고지적파동솔대고지기화개격유현저적해석력，험증료일반균형모형소고필적고시파동솔응납입도고지기화정개중；（3）고지기화일반균형모형교지유성본모형경괄우호심300고지기화적정개。
Stock index futures play an important role in risk management and market efficiency improvement, and reasonable pricing is the prerequisite for this role. This paper studies the pricing of Hushen 300 index futures using Helmer ＆ Longstaff＇ s general equilibrium model of pricing of stock index futures in fluctuation of interests and market and the Markov-Switching Model. Our findings are ：（ 1 ） The timing of dividend payout of Hushen 300 listed companies has obvious seasonality. Therefore, the time-variant dividend yield is crucial in the pricing of Hushen 300 index futures. （2） The volatility of stock index has significant explanatory power on the pricing of index futures, which suggests that the volatility of stock index should be considered in the pricing of index futures. （3） The general equilibrium model performs better than the Cost and Carry Model on the pricing of Hushen 300 index futures.