沪深300股指期货定价误差的实证研究

发布时间：2018-03-09 23:30

本文选题：股指期货　切入点：基差　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【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。
[Abstract]:Stock index futures play an important role in avoiding risks and hedging in the stock market. It is very important to manage base risk to ensure pricing efficiency. This paper focuses on a series of studies on pricing efficiency of Shanghai and Shenzhen 300 stock index futures, including numerical calculation and statistical characteristics of pricing errors. The selection of autoregressive time model of basis series, the discussion of influencing factors of pricing error and regression analysis etc. Firstly, the paper uses the holding cost model to price the theoretical price of futures contract, and analyzes the statistical characteristics of the pricing error of futures contract. Then, using time series model and regression method, the paper studies the influencing factors of pricing error. In the past three years, most of the price errors of the Shanghai and Shenzhen 300 stock index futures have been positive, and the range of fluctuations has increased with the increase of the contract duration. For the contracts of the month and next month, the main factors affecting the pricing errors are whether or not the interest rate is at risk and the expiration time. The volatility of spot market, the flow rate of futures market and the limit of short selling cost, etc. In addition, the contract pricing error of the month is linearly related to the daily trading volume, daily trading volume and daily position change of futures. This paper mainly completed the empirical research on the pricing error of Shanghai and Shenzhen 300 stock index futures. According to the market immaturity of China and the particularity of participants, this paper analyzes the characteristics of pricing error and its influencing factors. There are three points in innovation: one is whether to consider arbitrage cost, the other is based on actual transaction data. The analysis of exogenous variables and endogenous explanatory variables in spot market is studied. However, some factors, such as consistency of data and refinement of investor characteristics, can be improved in the empirical stage.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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