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。

Pricing Errors and the Caused Factors of Shanghai and Shenzhen 300 Stock Index Futures

The article used cost-of-carry model,no arbitrage pricing principle and regression analysis methods did empirical study about how the daily trading data and the intra-day five minutes data has affected the mispricing of Shanghai and Shenzhen 300 stock index futures respectively.It can be shown from this research that the price of Shanghai and Shenzhen 300 stock index is on the high side most of time in China.It can be suggested that taking the factor of arbitrage cost into account,the pricing of stock index...