【摘要】 为了检验我国股指期货市场定价效率和套利情况,根据市场实际情况设定了各种参数,构建了股指期货区间定价模型,并利用ETF组合作为现货,利用市场交易真实数据模拟了套利交易。结果发现,我国股指期货市场定价效率较高,错误定价比率较低,且主要发生在沪深300成分股分红较多的5月至7月;期现套利机会较少,利润较为微薄。更多还原

【Abstract】 To test the efficiency of market pricing and arbitrage of domestic stock index futures market,and the interval paicing model of stock index futures was constructed according to the real market condition in setted various parameters,and the ETF portfolio as spot was used to simulate the arbitrage trade with real market data.Results show that the pricing efficiency of domestic stock index futures was relatively high, and the error pricing ratio became low,which primarily happened between May and July when the components of HS 300stock index paid more dividends,and during this period arbitrage opportunities are less, with thin margins.更多还原