沪深300股指期货定价误差的实证研究

【作者】 黄春晖；

【导师】 孔爱国；

【作者基本信息】 复旦大学 ， 金融工程管理， 2013， 硕士

【摘要】 股指期货有一个重要作用是规避风险并对股票市场套期保值的作用。关于套期保值,管理基差风险以保证定价效率是很重要的。本文主要是围绕沪深300股指期货定价效率展开的一系列研究,包括定价误差的数值计算和统计特征,基差序列自回归时间模型的选定,定价误差的影响因素探讨和回归分析等。首先,文章运用持有成本模型定价期货合约理论价格,分析期货合约定价误差的统计特征。随后,运用时间序列模型和回归方法,研究定价误差的影响因素。结果表明,沪深300股指期货交易近三年来,合约定价误差大多为正,且随合约期限增长而波动幅度增大。针对当月合约和下月合约,影响定价误差的因素主要有无风险利率、到期时间、现货市场波动率、期货市场流动率和交易成本卖空限制等。另外,当月合约定价误差与期货日交易量、日交易量变动和日持仓量变动有线性关系。本文主要是完成了沪深300股指期货定价误差的实证研究,结合中国的市场不成熟和参与者特殊性分析理解定价误差的特征和影响因素。创新处有三点：分是否考虑套利成本两种情况分别研究,基于实际交易数据研究,综合外生变量和期现货市场内生解释变量分析研究。不过,关于数据的一致性和投资者特征细化等因素可以在实证阶段加强改进。更多还原

【Abstract】 Stock index futures have a important role to avoid the risk of the stock market through hedging. Thinking of hedging, the management of basis risk is very important. This paper is mainly about a series of research on the pricing efficiency of Shanghai and Shenzhen300stock index futures, including numerical calculation and statistical features of the mispricing, the selecting process of autoregressive time model, and regression analysis about factors that may affect the mispricing.Firstly, this paper is about statistical analysis of futures contracts’ pricing errors. Afterwards, using time series model and regression method, the factors that affect the mispricing are studied. The results show that, about the HS300stock index futures, the contracts’ pricing errors are mostly positive, and increase with the contract period. According to the current and next month contract, mispricing has some influencing factors, such as the risk-free interest rate, time to maturity, the spot market volatility, the futures market turnover, transaction cost and short-selling restrictions. In addition, the current month contract pricing errors have a linear relationship with futures trading volume, daily trading change and position change.This paper is an empirical study of the HS300stock index futures’ mispricing and the influencing factors, with the condition that China’s market is not mature and participants have special characteristics. Innovation can be seen in3aspects:two situations with or without arbitrage cost, data based on actual transactions, comprehensive thought about many variables. However, the consistency of the data and refinement of investors’ features and other factors may strengthen the improvement in the empirical process.更多还原