股指期货定价误差的均值回复性动因与信息传递——基于异质投资者假设的实证研究

Stock index futures pricing error reversion motivation and information transfer——A ESTAR-C model empirical analysis based on heterogeneity investors

传统的股指期货套利理论通常假设投资者是同质的,但实际上由于受到资本限制等原因,投资者的套利条件和套利头寸等都会表现出异质性,这对股指期货的套利具有很大影响。本文基于投资者异质性的假设前提,首先探讨了定价误差的均值回复性动因,然后运用ESTAR-EC模型对我国沪深300股指期货的套利过程进行实证研究。结果表明,异质套利交易者导致了定价误差的均值回复性;股指期货市场先于现货市场对定价误差做出反应;股指期货市场的价格调整幅度也大于现货市场;负定价误差对期现货两个市场的影响大于正定价误差的影响。

Traditional stock index futures arbitrage theory usually assumes that investors are homogeneous, arbitrage is the only reason of pricing error mean reversion, but in fact due to capital constraints and other reasons, investors＇ arbitrage conditions and arbitrage positions is demonstrated heterogeneous, which has great impact on stock index futures arbitrage. Based on the investor heterogeneous premise, at first we research the motivation of pricing error mean reversion, then we use the ESTAR-EC model empirically research China＇ s CSI 300 stock index futures arbitrage process. The results show that heterogeneity arbitrage induces the mean reversion ; stock index futures market lead to spot market react to pricing errors ; adjustment of the price of the stock index futures market is greater than the spot market ; negative pricing error has a great impact on market than positive pricing errors.