沪深300股指期货定价实证研究

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、保证金等市场因素,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。

Empirical Research of CSI-300 Stock Index Futures Pricing

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.