沪深300股指期货仿真交易价格风险实证分析

本文拓展了股指期货无套利区间定价模型,对沪深300股指期货仿真交易的定价进行了实证检验,并对两岸三地同品种、同时段的股指期货进行了比较分析。从无套利价格区间、期—现联动性和波动性等方面深入分析,发现沪深300股指期货仿真交易存在较严重的实际价格与无套利价格背离现象。分析认为,虚拟资金、无风险套利机制缺失和股票现货大牛市等是价格背离的重要原因。

Empirical Study on Price Risk of Shanghai-Shenzhen 300 Index Futures Emulation Trade

This paper develops no-arbitrage interval pricing model for stock index futures,performs an empirical test on the Shanghai-Shenzhen 300 index futures emulation trade,and compares the stock index futures among Mainland China,Hong Kong and Taiwan with same type and same period of time.It makes a deep analysis on price interval,linkage between futures and stocks,and price volatility,and finds that there is a severe phenomenon of deviation between the theoretical and actual price in the Shanghai-Shenzhen 300 index futures emulation trade.It argues that dummy bankroll,absence of arbitrage and stock bull market are the significant causes of the deviation of prices.According to this,it gives some policy recommendations.