中国沪深300股指期货定价效率实证分析

An Empirical Analysis on the Pricing Efficiency of China’s SCI 300 Stock Index Futures

资产定价是金融工程中最重要的核心内容之一,资产定价过程就是市场价格均衡的过程。研究利用无套利定价原理,通过完全市场持有成本定价模型验证沪深300期货市场理论价格和实际价格的误差程度,并利用考虑部分市场摩擦因素的正负双向套利策略的无套利定价区间研究股指期货的定价效率。通过实证分析得出,虽然理论价格和实际交易价格间仍有较大的误差,股指期货市场中仍然存在套利机会,但整体上看,我国沪深300股指期货的定价效率是在逐渐提升的。

Asset pricing is one of the most important core elements of the Financial Engineering,the emergence of stock index futures makes investors more and more trading opportunities.The pricing efficiency of stock index futures is one of the mainstream research directions in recent years.The market pricing process is the process of market equilibrium price.If there are arbitrage chance in the market for a long time,then the market is not unbalanced,which means that the market's pricing efficiency is low.In contrast,if the market is arbitrage-free,the market's pricing efficiency is higher.This paper uses the principle of no-arbitrage pricing to verify the degree of error between the theoretical price and the actual price of the Shanghai and Shenzhen 300 futures markets through a full market-captive cost pricing model,and uses the arbitrage-free pricing range of the positive and negative arbitrage strategies that consider some market friction factors to study the stock index Futures pricing efficiency.Through empirical analysis,although there is still a large error between the actual transaction price and the theoretical price,arbitrage opportunities still exist in the stock index futures market,but overall,the pricing efficiency of China's CSI 300 stock index futures is gradually increasing.