我国沪深300股指期货定价研究  

On the Pricing of Hushen 300 Index Futures in China

作　　者：郑鸣[1] 朱德贞[1] 倪玉娟[2] 

机构地区：[1]厦门大学经济学院,福建厦门361005 [2]海通证券研究所,上海200001

出　　处：《厦门大学学报（哲学社会科学版）》2013年第5期124-131,共8页Journal of Xiamen University(A Bimonthly for Studies in Arts & Social Sciences)

摘　　要：股指期货在风险管理、提高市场有效性方面具有重要作用,而运用股指期货的基础是对其进行合理的定价。借鉴Helmer和Longstaff(1991)利率和市场随机波动条件下股指期货的一般均衡定价模型,可结合马尔可夫状态转换模型对沪深300股指期货的定价进行实证分析。研究发现:(1)沪深300上市公司股利发放具有很强的季节性,对沪深300股指期货价时应选择时变的股利收益率;(2)股指的波动率对股指期货价格有显著的解释力,验证了一般均衡模型所考虑的股市波动率应纳入到股指期货定价中;(3)股指期货一般均衡模型较持有成本模型更适于沪深300股指期货的定价。Stock index futures play an important role in risk management and market efficiency improvement, and reasonable pricing is the prerequisite for this role. This paper studies the pricing of Hushen 300 index futures using Helmer ＆ Longstaff＇ s general equilibrium model of pricing of stock index futures in fluctuation of interests and market and the Markov-Switching Model. Our findings are ： （ 1 ） The timing of dividend payout of Hushen 300 listed companies has obvious seasonality. Therefore, the time-variant dividend yield is crucial in the pricing of Hushen 300 index futures. （2） The volatility of stock index has significant explanatory power on the pricing of index futures, which suggests that the volatility of stock index should be considered in the pricing of index futures. （3） The general equilibrium model performs better than the Cost and Carry Model on the pricing of Hushen 300 index futures.

关 键 词：股指期货定价 一般均衡模型 持有成本模型 马尔可夫状态转换 

分 类 号：F752.62[经济管理—国际贸易]