我国股指期货的定价误差与定价效率研究

发布时间：2017-12-31 14:22

本文关键词：我国股指期货的定价误差与定价效率研究　出处：《首都经济贸易大学》2013年硕士论文　论文类型：学位论文

【摘要】：金融工程是20世纪90年代诞生的一门新兴交叉学科，主要内容包括金融产品的创新、定价及新的交易机制安排，其中有关金融产品的定价问题成为整个金融工程及金融创新的核心问题。股指期货交易是在期货交易所内买卖以股票价格指数为期货合约标的的行为，其自身市场价格与理论价格的差异促进了期现市场的套利交易，大大提高了资本市场的活力。股指期货定价误差的大小与其定价效率密切相关，定价效率又直接影响着股指期货价格发现和套期保值功能的发挥。在不完美市场当中，股指期货的定价误差是无法避免的，定价问题在股指期货市场中的核心地位决定了改进定价误差的必要性。本文从股指期货的基本内容入手，介绍了股票指数的编制及沪深300股指期货的设计，重点阐述了股指期货的定价理论。结合我国股指期货的发展现状，并综合相关学者对股票现货市场与股指期货市场的相关性研究，具体研究我国股指期货定价误差的衡量及其影响因素。紧接着，从金融市场的效率来引申出股指期货的定价效率，讨论了股指期货定价误差与定价效率的相互关系，从信息效率、套利活动、政府监管与调控等方面说明定价误差影响定价效率的具体途径。定价问题十分重要，必须努力改进定价方式与相关制度。国外股指期货市场较为成熟，，需要借鉴国外股指期货发展经验，改进定价误差。最后，在分析国际成功经验的基础上，考虑我国股指期货的发展背景和现状，从市场本身、定价机制设计、投资者教育等方面提出了进行定价改进的几点建议。
[Abstract]:Financial engineering is a new interdisciplinary discipline born in 1990s. Its main contents include innovation of financial products, pricing and new trading mechanism. The pricing of financial products has become the core problem of the whole financial engineering and financial innovation. Stock index futures trading is the behavior of trading the stock price index as the target of the futures contract in the futures exchange. The difference between its own market price and the theoretical price promotes the arbitrage trade in the current market and greatly improves the vitality of the capital market. The price error of the stock index futures is closely related to its pricing efficiency. Pricing efficiency directly affects the price discovery and hedging function of stock index futures. In the imperfect market, the pricing error of stock index futures is unavoidable. The core position of pricing problem in stock index futures market determines the necessity of improving pricing error. Starting with the basic content of stock index futures, this paper introduces the compilation of stock index and the design of Shanghai and Shenzhen 300 stock index futures, with the emphasis on the pricing theory of stock index futures, combined with the development of stock index futures in China. And synthesizes the related scholar to stock spot market and the stock index futures market correlation research, the concrete research our country stock index futures pricing error measurement and its influence factor. The pricing efficiency of stock index futures is derived from the efficiency of financial market. The relationship between pricing errors and pricing efficiency of stock index futures is discussed, and the information efficiency and arbitrage activities are discussed. Government supervision and regulation and other aspects of pricing error affect the pricing efficiency of specific ways. Pricing is very important, we must strive to improve pricing methods and related systems. Foreign stock index futures market is more mature. Need to learn from foreign stock index futures development experience, improve pricing error. Finally, on the basis of international successful experience, considering the development background and current situation of stock index futures in China, from the market itself, pricing mechanism design. Some suggestions on how to improve pricing are put forward in the aspects of investor education.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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