股指期货区间定价模型研究——基于沪深300股指期货的实证分析

Stock Index Futures Interval Pricing Model Research——Based on the Empirical Analysis of Shanghai and Shenzhen 300 Index Futures

选取2011年7月18日至2012年4月20日为样本期间,利用改进后的区间定价模型对沪深300股指期货合约IF1203、IF1110、IF1111、IF1201、IF1202、F1204的364组交易数据进行区间定价并检验其定价效果。定价效果的初步检验显示沪深300指数在样本期内有92.58%交易日的实际价格落在定价区间内,并且平均错误定价率仅为0.059%,定价效率较高,定价效果较好。进一步地,运用SPSS软件对数据进行配对样本T检验,结果显示样本总体和每份合约均通过假设检验,实际价格满足"定价的下限(下限)【股指期货的实际价格(Ft)【区间定价的上限(上限)"的假设。综合分析可知,实证分析说明模型2是适合市场实际的股指期货区间定价模型。

This paper selects July 18th to April 20th in 2011 as the sample period,using the improved interval pricing model to test the pricing effect by choosing 364 group trading data of Shanghai and Shenzhen 300 index futures contract.The effect of pricing initial examination shows that 92.58 percent of Shanghai and Shenzhen 300 Index data in the sample period falls on pricing interval,and the average error pricing rate is only 0.059 percent.The pricing efficiency is high and the pricing effect is good.Furthermore,this paper uses the SPSS software to have the matched sample T tested and the result shows that the overall contract sample and contract both pass the hypothesis test,the actual index price meets the hypothesis.Comprehensive analysis shows that the second model is a good stock index futures pricing model for the market reality.