从期现套利看三大股指期货的价格规律  

Three Major Stock Index Futures’ Price Law Seen From the Perspective of Spot-futures Arbitrage

作　　者：谢世清[1] 李静昀 Xie Shiqing;Li Jingyun(School of Economics,Peking University,Beijing 100871,China;School of Engineering and Applied Science,Columbia University in the City of New York,New York America 10027)

机构地区：[1]北京大学经济学院,北京100871 [2]哥伦比亚大学工程与应用科学学院,美国纽约10027

出　　处：《统计与决策》2020年第21期134-138,共5页Statistics & Decision

摘　　要：文章选取2018年10月25日至11月23日的5分钟数据,运用无套利原理对沪深300、上证50和中证500三只股指期货的价格规律进行了实证分析。研究发现:三大股指期货价格偏低,但不同股指期货程度不同;当到期日临近时,每个股指期货的价格都趋向于合理;三只股指期货中,上证50股指期货价格确定机制最为成熟,沪深300股指期货其次,中证500股指期货最后。文章对三大股指期货的价格合理性进行了直观的比较,为推进我国股指期货市场的成熟提供了一定依据。This paper selects the 5-minute data from October 25 to November 23, 2018 and applies the no-arbitrage principle to make an empirical analysis on the price law of IF, IH and IC. Researches find that the prices of the three major stock index futures are low, but the degree is different on different stock index futures, that when the maturity date approaches, the price of each stock index futures tends to be reasonable, and that among the three stock index futures, the pricing mechanism of IH is the most mature, followed by IF and IC. The paper makes an intuitive comparison of the price rationality among China’s three major stock index futures, and provides some basis for promoting the maturity of China’s stock index futures market.

关 键 词：股指期货 期现套利 ETF 价格合理性 

分 类 号：F830.91[经济管理—金融学]