沪深300股指期权市场是有效的吗?——基于仿真数据的期权平价关系研究

Is CSI 300 Index Options Market Efficient?——Based on Put- Call Parity of the Simulation Data

本文以我国金融期货交易所沪深300股指期权仿真交易数据、沪深300指数的一分钟高频数据为研究样本,基于看涨看跌期权平价关系研究我国沪深300股指期权仿真市场的有效性。研究发现:采用参数和非参数统计方法的我国期权市场的看涨看跌平价关系不成立,这表明我国股指期权市场定价效率低下,沪深300股指期权仿真市场不是一个有效的期权市场;事后套利策略和事前套利策略获得了显著超额收益,这说明投资者的不完全理性是导致我国股指期权市场定价效率低的原因。

Using the 1 - minute high - frequency simulation data for options on the CSI 300 index and CSI 300 index da- ta, the paper examines the efficiency of the CSI 300 index options market by the method of put and call parity of options. Parameter and non - parameter methods are used to find that the put and call parity does not hold, which shows that the pricing efficiency is low and the CSI 300 index options market is not an efficient options market. Both ex - post and ex - ante arbitrage strategies earn significant excessive profits, which shows that the incomplete rationality of the investors ex- plains the low pricing efficiency of CSI 300 index options market.