股指期货限仓对衍生品市场价格偏差的影响及原因  

The Impact of Position-limit Policy on the Price of Financial Derivatives Market and the Reasons

作　　者：杨光艺[1] Yang Guangyi

机构地区：[1]北京大学光华管理学院,北京100089

出　　处：《证券市场导报》2018年第9期31-37,45,共8页Securities Market Herald

摘　　要：本文主要研究了股指期货限仓前后衍生品价格的变化以及其原因,主要结论是:(1)在研究中国股指期货市场时需考虑分红因素;(2)股指期货限仓后,以A股为标的的衍生品均出现了价格偏差的现象;(3)股指期货并不是导致衍生品价格偏差的唯一原因,现货市场做空限制以及市场情绪均是导致价格偏差的重要原因;(4)在中国的市场上套利者能够为套期保值者带来每笔大约0.3%的成本节约。This paper focuses on the impacts of the position-limit policy on the price of financial derivatives and the reasons of the impacts. Our main conclusions are：（1） dividends play an important role in the price of the futures;（2） after position-limit policy, the derivatives based on China A-share market experienced the phenomenon of mispricing;（3） but the position-limit policy is not the only reason, limitation of short-mechanism in stock market and investor sentiment also significantly affect the phenomenon of mispricing;（4） arbitragers help decrease the cost of hedge by 0.3% per transaction in China stock market.

关 键 词：股指限仓 套利者 价格发现 股指期货 

分 类 号：F832.5[经济管理—金融学]