沪深300股指期货定价误差及影响因素分析

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。     

Short Selling and Index Arbitrage Profitability: Evidence from the SGX MSCI and TAIFEX Taiwan Index Futures Markets

There are numerous impediments to market efficiency and index arbitrage in real capital markets, including the uptick rule on short selling, execution risk, market impact costs, regulatory barriers, and capital constraints. Adopting and relaxing the uptick restriction in the Taiwan stock market facilitated a study on whether adjustments in this restriction influence the efficiency and arbitrage of the Singapore Exchange Limited (SGX) and the Taiwan Futures Exchange (TAIFEX) index futures markets. This study examines the above issues using five-minute intraday transaction data and performs an ex post test of arbitrage, ex ante test of arbitrage, and regression analysis. Empirical results indicate that relaxing the uptick rule should improve market efficiency and facilitate long arbitrage, subsequently accelerating the adjustment to no-arbitrage bounds and helping to decrease ex post and ex ante mispricing and underpricing following the relaxation.     

Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis

This paper addresses the important relationship between stock index and stock index futures markets in an international context. By simply examining the spot‐futures relationship within a single country as most of the extant literature does and thus ignoring possible market interdependencies between countries, the dynamics of price adjustments may be misspecified and thus findings misleading. The main contribution of the paper is to improve our understanding of the pricing relationship between spot and futures markets in the light of international market interdependencies. Using a multivariate VAR‐EGARCH methodology, the paper investigates stock index and stock index futures market interdependence, that is lead‐lag relationships and volatility interactions between the stock and futures markets of three main European countries, namely France, Germany and the UK. In addition, the paper explicitly accounts for potential asymmetries that may exist in the volatility transmission mechanism between these markets. The main conclusions of the paper imply that investors need to account for market interactions across countries to fully and correctly exploit the potential for hedging and diversification.     

沪深300股票指数期货期现套利机制研究

通过分析股指期货推出的必要性度其与期限套利机制的关系,探讨了由于投资者非理性、交易成本高昂、缺乏300ETF产品、交易制度障碍和外汇管制带来的期现套利障碍,有针对性地提出了完善期现套利机制的政策建议.     

Price Expectation and the Pricing of Stock Index Futures

Capital markets are not perfect or frictionless, and arbitrage mechanism cannot be complete, particularly for index arbitrage. This study constructs a theoretical foundation to explain why the price expectation of the underlying asset should be entered into the pricing formula of stock index futures. The price expectation and incompleteness of arbitrage then are taken into account to develop a pricing model of stock index futures in imperfect markets. This study also presents three approaches for estimating the model parameter. Finally, the concept of the degree of market imperfection is defined and the valuation model is provided.     

我国股指期货与股票交易的关联性分析

股指期货上市交易后对股票现货市场波动性的影响取决于届时股票现货市场的估值水平,其交易过程和结果也将改变市场投资主体结构及参与程度,形成交易主体多元化的格局。同时,我国股票现货市场对股指期货的交易也存在着反约束.     

证券市场均衡理论及其对我国市场的启示

证券市场均衡理论说明证券市场是在以市场制度为依托,市场机制充分发挥作用,经济当事人具有贝叶斯理性并能无障碍获得市场信息条件下,才能实现的均衡状态。我国证券市场是在计划经济向市场经济转轨中形成的,政府主导制度供给、干预证券市场运行。一方面政府行为直接推动了证券市场的发展,有利于证券市场服务于改革,服务于政策目标的实现;另一方面,由于政府行为也蕴含了与市场机制不相溶的因素,妨碍了证券市场功能的发挥。     

The Lead–Lag Relationship Between Stock Indices and Stock Index Futures Contracts: Further Australian Evidence

This article examines the lead-lag relationship in returns on stock index futures and the underlying stock index for the Australian market between 1992 and 1997. On average across the sample period, futures returns lead index returns by twenty to twenty-five minutes and there is some evidence of feedback from the equities market to the futures market. Analysis conducted on a year-by-year basis suggests that the extent to which the futures market leads the equities market has decreased over time and the relationship between the two markets has generally strengthened. This is consistent with an increase in the level of integration between the markets. The results suggest that prior research that compares lead-lag relationships across international markets and time periods in drawing inferences on the effects of market structure needs to be interpreted with caution.     

论我国股指期货的风险与对策

股票指数期货是20世纪80年代发展起来的金融创新产品。在我国期货市场推出该品种,对建设有中国特色的资本市场有其特殊意义。因此,有必要对我国股指期货的运作风险进行分析和把握,以利于我国股指期货的健康发展。     

Dynamic Linkages Between the China and International Stock Markets

China has become recognized a fourth world economy and is playing a much more important role than ever before in the world economy. In this paper, we study the relationship between the China and the international main stock markets, including the stock markets in the U.S., the U.K., Japan and Hong Kong. Both long-term and short-term dynamic linkages between the China and the international main stock markets are explored by applying a Markov-Switching Vector Error Correction Model (MS-VECM), which takes into account the three regimes of depression, boom and speculation in the market. Our new findings with the data under study include: (i) There has been a significant trend of long-term co-movement between the China and the international stock markets since 1999. (ii) In short term, the stock market in China has been impacted directly or indirectly by the international main stock markets, which varies under different regimes. This impact is still weak in the depression regime, but strong in the boom regime, and, in particular, it has become very strong through the co-integration error correction in the regime of speculation. These findings are different from those documented in the literature and are potentially interesting for international investment and risk management.     

全球股指期货与期权市场的发展动向及启示

本文通过对近年来全球股指期货及期权场内交易发展态势及动向分析,指出全球股指期货及期权呈现出交易量稳居各类产品之首、交易高度集中于几家交易所的几种产品、中国概念股指备受关注、创新步伐不断加快等四大趋势,启示我们适时推出股指期货,研究股指期权,不但可以拓展期货市场发展空间,推动境内资本市场的健康发展,建立完善的股指市场体系,而且是股票类衍生品创新的基础。     

The Causal Relationship Between Real Estate and Stock Markets

This paper examines the dynamic relationship that exists between the US real estate and S&P 500 stock markets between the years of 1972 to 1998. This is achieved by conducting both linear and nonlinear causality tests. The results from these tests provide a number of interesting observations which primarily show linear relationships to be spuriously affected by structural shifts which are inherent within the data. Linear test results generally show a uni-directional relationship to exist from the real estate market to the stock market. However, these results are not consistent with financial theory and for all sub-samples of the data. In contrast, the nonlinear causality test shows a strong unidirectional relationship running from the stock market to the real estate market, and is consistent in the presence of any structural breaks.     

股指期货与现货市场的关系研究

本文从市场结构、交易执行效率和市场信息传播三个方面,由浅入深地展开了期现货市场关系的梳理和分析。股指期货市场的出现,一是使得原本现货市场单轨运行的市场结构变为了期现货市场双轨运行的新结构,增加了市场稳定性;二是依托期货交易方式的独特机制,大大提高了交易执行效率;三是期货价格也因此包含了更多内容,促进了市场信息的传播与扩散。同时,股指期货的独特设计使得其非常适合在危机条件下充分发挥功能,是一个重要的风险管理工具,已经成为现代资本市场的重要组成部分和基础性的内在稳定机制。     

中国商品期货指数与GDP指数的关系研究

本文在借鉴国内外商品期货指数编制方法的基础上,编制了我国商品期货指数.基于1998-2005 年的时间序列数据,对我国商品期货指数与GDP指数之间的超前滞后关系进行了实证研究,研究结果表明在样本区间内存在商品期货指数到GDP指数的因果关系,其先行时间达2个月.我国商品期货指数与GDP指数两者之间存在长期均衡关系,但是期货市场的价格发现功能依然存在某些缺陷.因此,应当进一步完善我国的期货市场,使商品期货指数成为监测我国经济景气的指示器.     

Spillover and Cojumps Between the U.S. and Chinese Stock Markets

There is an urgent need to understand the spillover and cojump effects between the U.S. and Chinese stock markets. The paper finds that since July 2005, the U.S. stock market has caused short-run spillover effects on returns on the Chinese stock market. More specifically, price changes in the United States can be used to predict both closing-to-opening and closing-to-closing returns on the Chinese stock market on the next day. However, there is no significant volatility spillover between the two markets. Both markets have shown stronger cojump behavior since the subprime crisis. The return relationships between the two stock markets are robust.     

基于EGRACH模型的股指期货对股市非对称性波动影响的实证研究

本文基于EGRACH模型,利用高频数据,实证检验了沪深300股指期货对我国股市非对称波动的影响。实证研究表明,沪深300股指期货与现货市场之间存在互为格兰杰因果关系,在股指期货初期股指期货对股市的波动有放大作用,在远期降低了非对称性波动,具有稳定股市的功效。     

新华富时A50股指期货与我国A股市场价格间关系：基于高频数据的研究

利用五分钟高频数据,本文对在新加坡交易所上市的新华富时A50股指期货与我国沪深300股指现货和期货之间的价格变化关系进行了实证分析。主要结果显示：从目前看,国内的沪深300指数现货和期货市场在价格发现和信息传递方面居于主导地位。A50股指期货价格的变动对国内股指现货和期货市场价格的变动并不存在显著的领先和引导作用。     

股指期货与股票现货市场竞争关系研究——来自中国的经验证据

本文利用模拟生态学中种群间动态关系的Lotka-Volterra模型,对沪深300股指期货同股票现货市场在交易规模方面的竞争关系进行实证分析。研究结果表明,沪深300股指期货推出初期,股指期货市场与股票现货市场在交易规模方面存在竞争性的交易转移效应;随着股指期货市场相关规则的不断健全和完善,股指期货市场与股票现货市场在交易规模方面由竞争关系转变为共存关系,出现交易引资效应。同时,研究还发现,股指期货市场与股票现货市场之间关系由竞争性转变为共存性的重要原因是股指期货市场监管力度的加大,股指期货市场投资者结构的优化,以及股指期货市场期现套利交易的盛行。     

Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets

In this paper, we examine the nature of transmission of stock returns and volatility between the U.S. and Japanese stock markets using futures prices on the S&P 500 and Nikkei 225 stock indexes. We use stock index futures prices to mitigate the stale quote problem found in the spot index prices and to obtain more robust results. By employing a two-step GARCH approach, we find that there are unidirectional contemporaneous return and volatility spillovers from the U.S. to Japan. Furthermore, the U.S.'s influence on Japan in returns is approximately four times as large as the other way around. Finally, our results show no significant lagged spillover effects in both returns and volatility from the Osaka market to the Chicago market, while a significant lagged volatility spillover is observed from the U.S. to Japan. This revised version was published online in August 2006 with corrections to the Cover Date.     

On Speculation, Index Futures Markets, and the Link Between Market Volatility and Investor Welfare

This paper develops a trading model that incorporates informed speculators as well as investors who possess incorrect expectations about asset values. It is shown that the introduction of an index futures market, by stimulating additional misinformed speculation, increases market liquidity and adversely affects price variability and efficiency in the underlying stock markets. An analysis of the welfare of uninformed hedgers suggests that the relationship between uninformed investor welfare and two key parameters that dominate policy discussions, market liquidity and price variability, is quite tenuous.