| 股指期货的定价问题 |
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| 引用本文： | 郭洪钧.股指期货的定价问题[J].上海财经大学学报,2007,9(3):68-75. |
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| 作者姓名： | 郭洪钧 |
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| 作者单位： | 西安交通大学经济与金融学院 陕西西安710061 |
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| 摘 要： | 中国金融市场即将推出沪深300股票指数期货。本文吸收和借鉴了国外的研究成果，深入探讨了股指期货的定价问题，包括什么是股指期货的定价模型、股指期货价格均衡的条件、无风险套利的实例分析、股指期货价格背离的原因以及为消除价格背离应采取的若干对策。经过充分的论证，本文明确提出了中国证券市场应尽快推出沪深300指数交易所交易基金（ETF），并适时引入股票卖空机制的建议。
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| 关 键 词： | 股指期货 定价 套利 交易所交易基金 卖空 |
| 文章编号： | 1009-0150（2007）03-0068-08 |
| 修稿时间： | 2007-03-12 |
The Pricing Issue of Stock Index Futures |
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| GUO Hong-jun.The Pricing Issue of Stock Index Futures[J].Journal of Shanghai University of Finance and Economics,2007,9(3):68-75. |
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| Authors: | GUO Hong-jun |
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| Institution: | GUO Hong-jun (School of Economics and Finance, Xi＇an Jiaotong University, Xi＇an 710061, China) |
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| Abstract: | China's financial market will be introduced Stock index futures in the near future.Based on absorbing and taking advantage of this area's research productions in abroad,the paper discussed the pricing issue of stock index futures,including the pricing model,no-arbitrage condition,risk-less arbitrage example,reasons of price difference,and the advice for solving the price difference.Through detailed discussion and demonstration,the paper contributes some proposals to China's financial market,such as introducing Stock index ETF,releasing the ban of short selling if possible,and so on. |
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| Keywords: | stock index futures pricing arbitrage ETF short selling |
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