沪深300指数期权仿真交易跨市场套利有效性研究被引量：5

A Study of Cross-market Arbitrage Efficiency for the Emulational Market of CSI 300 Index Options

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摘要本文利用期权边界条件和期权期货平价关系式,采用事前和事后分析的方法,从无风险套利角度对沪深300指数期权仿真市场和沪深300指数期货市场之间的跨市场套利有效性进行了开创性研究。事前、事后分析结果显示:仿真期权市场中期权边界条件带来的跨市场套利机会非常少(尤其在看跌期权市场中),而在期权期货平价关系式上面,确实存在着理论上的跨市场套利机会;指数期权市场整体上具有很强的市场效率,在跨市场套利信号出现后,随着延迟时间的增加,有效的跨市场套利机会迅速减少,市场逐渐趋于有效,但局部市场中有效的套利机会维持较长时间。 Based on the perspective of riskless arbitrage, the efficiency of cross - market arbitrage between the emula- tional market of CSI 300 index options and CSI 300 index futures market is creatively studied through options boundary condition and put - call - future parity relationship, ex - post and ex - ante analysis are adopted in the paper. The results of ex - ante and ex - post analysis show that there is a few of theoretical cross - market arbitrage opportunities resulted from violation of options boundary condition in the emulational options market, especially in the put options, but there do be some theoretical cross - market arbitrage opportunities in put - call - future parity relationship; the index options mar- ket as a whole is efficient, after the signals of cross - market arbitrage opportunities appear, with the increase of delay time, the efficient arbitrage opportunities decrease rapidly, the options market tends toward efficiency, but the duration of the efficient arbitrage opportunities is relatively long in the partial index options market.

作者孙桂平

机构地区复旦大学应用经济学博士后流动站国泰君安证券博士后工作站

出处《商业研究》 CSSCI 北大核心 2015年第10期54-63,共10页 Commercial Research

基金上海市博士后科研资助计划项目项目编号:14R21421400

关键词沪深300指数期权沪深300指数期货跨市场套利期权边界条件期权期货平价关系式 CSI 300 index options CSI 300 index futures cross - market arbitrage options boundary condition put - call- future parity relationship

分类号 F830 [经济管理—金融学]

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