股指期货的价格决定

Price Determination of Stock Index Futures

价格理论是微观经济学的核心,在完全市场经济中,需求和供给是决定市场价格的两大力量。股指期货合约是以股票市场上的样本股票整体价格变动情况作为交易对象的期货。股指期货市场独特的卖空机制,使得如何理解股指期货合约的需求和供给成为股指期货市场价格决定理论的关键。套期保值者是股指期货市场的净供给方,其供给量由套期保值成本决定。投机者和套利者是股指期货市场净需求方,其需求量由风险溢价决定。股指期货市场均衡价格由供需平衡点决定。

Price theory is the core of mieroeconomics. In the complete market economy,demand and supply are the two powers that decide the price. Stock index futures are futures based on the overall changes of the sample stocks. The special mechanism of selling short decides the key to the price determinism of futures market is how to understand the relationship between supply and demand of futures contract. The author regards hedgers act as the supply part in futures market, the amount of whose supply is decided by the cost of the hedge. Speculators and arbitragers both are the demand parts in futures market purely, the amount of whose demand is decided by risk premium. The equilibrium price of the futures market is decided by the balance point of supply and demand.