对股指期货最后结算价格计算规则的研究  

作　　者：王莹[1] 余庆生[1] 

机构地区：[1]同济大学经济与管理学院

出　　处：《国际金融研究》2007年第2期60-65,共6页Studies of International Finance

基　　金：中国金融期货交易所(筹)内部委托课题。

摘　　要：在股指期货合约的各项条款中,最后结算价格计算规则是其中的重要一条,它决定了股指期货合约的到期价值,其规定的合理与否直接关系到股指期货市场的效率与安全。本文首先对国际著名股指期货合约最后结算价格的条款规定进行借鉴性的对比分析,接着提出了确定股指期货最后结算价格应满足的三个目标约束,随后借助实证对国内股票市场的微观交易特性进行深入研究,在此基础上提出了对我国首支股指期货合约最后结算价格的条款设计建议,即取最后两个交易小时所有指数点的平均值取整作为股指期货的最后结算价。The rule on the final settlement price is an important component of a stock index future contract, because it determines the value of the contract at maturity. Whether or not this rule is reasonable will impact the efficiency and safety of the corresponding stock index future. Firstly, this paper compares the final settlement price rules of some world-famous stock index future contracts. Then three targets for the plan of the final settlement price rules of a stock index future contract are put forward from the theoretical point of view. Subsequently, an in-depth demonstration research is made on the microcosmic trading characteristic of Chinese stock market. Finally, an advice for the settlement price rule of the first stock index future contract in China is brought forward： the average of all valid index quoted price in the latest two trading hours on the final settlement day.

关 键 词：股指期货 最后结算价格 市场深度 操纵成本 定价效率 

分 类 号：F831[经济管理—金融学]