异质投资者下股指期货的定价误差与信息传递

发布时间：2018-03-01 10:36

本文关键词： 异质投资者定价误差信息传递 ESTAR—EC模型　出处：《浙江工商大学》2012年硕士论文　论文类型：学位论文

【摘要】：传统理论在研究股指期货之前往往都假设市场上的套利者是同质的,即认为他们的套利成本、套利条件和套利策略都是相同的,但在现实中,套利成本除了佣金、做空做多成本、买卖价差等显性的交易成本外,还包括由资本限制带来的机会成本、市场摩擦等隐形成本,而这些成本会因套利者而异的,因此在相关研究中,不能简单的假设套利者都是同质的。本文的研究以套利交易者异质性为假设前提,即假设市场中套利交易者的套利成本和套利条件都是不同的,并且以我国沪深300股指期货市场为研究对象。考虑到我国沪深300股指期货市场与欧美发达国家的股指期货市场不同,其具有交易品种单一,程序化交易起步晚,市场投资环境和交易者素质较差、法律条规不完善、交易成本较高、价格行为不理智等现发展阶段所具有的问题,本文在国外研究成果的基础上,结合到我国股指期货市场自身的实际情况,从理论和实际结合来分析研究我国股指期货定价误差的特点,以及期现货市场对定价误差的反应和价格调整机制,结果发现沪深300股指期货定价误差的均值回归性是由异质套利者引起的；股指期货市场会先于现货市场对定价误差做出反应,且反应幅度大于现货市场；负的定价误差对于市场的影响大于正的定价误差的影响。本文的研究对于进一步清楚了解股指期货的价格调整机制以及市场反应机制具有更深层的意义,并且对于套利者构建相应的套利组合也具有一定的启示作用：一方面有助于市场监管部门了解两个市场对定价误差信息的反应过程以及期货市场价格发现功能是否得以有效发挥,为监管部门制定相应政策建议以及完善市场交易机制起到一定借鉴作用；另一方面使得投资者清楚了解期现货市场对定价误差信息的反应速度,有助于其制定正确的投资策略。本文的研究重点放在期现货市场对定价误差信息的反应方面。
[Abstract]:Before studying stock index futures, the traditional theory often assumes that the arbitrage players in the market are homogeneous, that is, they have the same arbitrage cost, arbitrage conditions and arbitrage strategy, but in reality, the arbitrage cost is only commission. In addition to overt transaction costs such as short-selling costs, spread of buying and selling spreads, there are also hidden costs such as opportunity costs brought about by capital restrictions, market friction and so on, which can vary from arbitrage to arbitrage, so in the relevant research, It is not easy to assume that arbitrages are homogeneous. In this paper, we take the heterogeneity of arbitrage traders as the hypothetical premise, that is to say, we assume that the arbitrage costs and conditions of arbitrage traders in the market are different. And take the stock index futures market of Shanghai and Shenzhen 300 as the research object. Considering that the stock index futures market of Shanghai and Shenzhen 300 is different from the stock index futures market of developed countries in Europe and the United States, it has a single trading variety and a late start of programmed trading. The market investment environment and traders' quality are poor, the laws and regulations are not perfect, the transaction cost is high, the price behavior is irrational and so on. Combining with the actual situation of China's stock index futures market, this paper analyzes and studies the characteristics of pricing errors of stock index futures in China from the combination of theory and practice, as well as the reaction of spot market to pricing errors and the price adjustment mechanism. The results show that the average regression of the pricing error of Shanghai and Shenzhen 300 stock index futures is caused by heterogeneous arbitrage, and the stock index futures market will react to the pricing error before the spot market, and the reaction range is larger than that of the spot market. The negative pricing error affects the market more than the positive pricing error. The research in this paper has a deeper meaning for further understanding the price adjustment mechanism and market reaction mechanism of stock index futures. On the one hand, it is helpful for market supervision to understand the reaction process of two markets to pricing error information and the function of price discovery in futures market. Whether to play it effectively, For the regulatory authorities to formulate corresponding policy recommendations and improve the market trading mechanism play a certain reference role; on the other hand, make investors understand clearly the reaction speed of spot market to pricing error information, This paper focuses on the reaction of spot market to pricing error information.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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