股指期货市场和股票市场价格关系及定价误差

The pricing relation and the pricing error between stock index futures and stock market

从定性与定量分析看 ,股指期货市场与股票市场价格存在着长期均衡关系 .当期货合约的价格偏离其“公允价格” ,便产生“定价误差” .要正确实施投资组合战略必须研究两市场对定价误差的反应机制和调整速度 ,分析信息性质对两市场的非对称性影响和对定价误差信息的反应速度进行检测 .为此 ,要善于运用ESTAR ECM模型 。

It is concluded that it has the long-term equilibriu m relation between stock index futures and stock market through the qualitative an alysis and quantitative measurement. The pricing error will occur when the futur es contract′s price deviates from its fair price. Before the investment portfol io was constructed, it was essential to study the reacting mechanism and the adj ustment speed of pricing error, analyze the asymmetric impact on the stock marke t and stock index market induced by the characteristics of pricing error and exa mine the reacting speed of pricing error information. The ESTAR-ECM model was d eveloped and some warnings were summarized on the research of pricing relation b etween these two markets.