股指期货定价效率研究

Study on Pricing Efficiency of Stock Index Futures

股指期货自推出以来,在投资界和学术界的影响力不断增强,逐渐成为期货发展史上最为成功的期货品种之一。对于市场参与者,股指期货无论是被用于投资获利还是套期保值,一旦股指期货的定价出现了偏差,必然会给投资者带来巨大的损失。因此,目前最常用的持有成本模型等两个股指期货定价模型的定价效率问题正日益受到人们的关注。一是随着我国人均GDP的增长和经济实力的不断增强,我国迫切需要一个结构良好、流动性充足、市场发育较为成熟的金融市场来实现人民财富增值的愿望,股票指数期货等大批金融衍生工具得到了前所未有的重视;二是对于完善我国资本市场的结构,促使中国的市场实现看空交易,更好地与国际市场接轨具有十分重要的意义。

Since its launch,stock index futures have been increasingly influential in the investment and academic circles,and have gradually become one of the most successful futures varieties in the history of futures development.For market participants,whether stock index futures are used for investment profit or hedging,once the pricing of stock index futures deviates,it will inevitably bring huge losses to investors.Therefore,the pricing efficiency of two stock index futures pricing models,such as the most commonly used cost of ownership model,is attracting more and more attention.First,with the continuous improvement of my country’s per capita GDP and economic strength,my country urgently needs a financial market with a good structure,sufficient liquidity and a relatively mature market development to realize the people’s desire for wealth appreciation.A large number of financial derivatives such as stock index futures have been obtained.Second,it is of great significance to improve the structure of my country’s capital market,to promote the realization of bearish transactions in China’s market,and to better integrate with the international market.