沪深300股指期货仿真交易价格风险实证分析

Empirical Study on Price Risk of Shanghai-Shenzhen 300 Index Futures Emulation Trade

本文拓展了股指期货无套利区间定价模型,对沪深300股指期货仿真交易的定价进行了实证检验,并对两岸三地同品种、同时段的股指期货进行了比较分析。从无套利价格区间、期—现联动性和波动性等方面深入分析,发现沪深300股指期货仿真交易存在较严重的实际价格与无套利价格背离现象。分析认为,虚拟资金、无风险套利机制缺失和股票现货大牛市等是价格背离的重要原因。

This paper develops no - arbitrage interval pricing model for stock index futures, performs an empirical test on the Shanghai - Shenzhen 300 index futures emulation trade, and compares the stock index futures among China's Mainland, Hong Kong and Taiwan with same type and same period of time. It makes a deep analysis on price interval, linkage between futures and stocks, and price volatility, and finds that there is a severe phenomenon of deviation between the theoretical and actual price in the Shanghai - Shenzhen 300 index futures emulation trade. It argues that dur-amy bankroll, absence of arbitrage and stock bull market are the significant causes of the deviation of prices. According to this, it gives some policy recommendations.