卖空限制下股指期货价格波动与基差的关系探究  

Relationship between Stock Index Futures Price Fluctuation and Basis with Short Selling Restrictions

作　　者：姚誉 YAO Yu(Securities Institute for Financial Studies,Shandong University,Jinan 250100,China)

机构地区：[1]山东大学中泰证券金融研究院,济南250100

出　　处：《南通职业大学学报》2023年第1期60-65,共6页Journal of Nantong Vocational University

摘　　要：为研究卖空限制情况下负基差与期货市场的作用关系,将投资受限下的商品经济模型运用于卖空限制的金融市场分析,以投资情绪解释投资者的行为决策,构建了股指期现市场的短期动态模型,并提出了基差与期货价格波动呈V型关系的推论。实证分析沪深300股指期货,发现在距离最后交易日的前20天,均出现程度不一的V型关系,进一步考虑自回归条件异方差(ARCH)效应并进行稳健性分析,结果与模型推论一致。To study the relationship between negative basis and futures market with short selling restrictions,the commodity economic model with investment restriction is applied to the analysis of the financial market with short selling restrictions,and the investment sentiment is used to explain investor's behavior of decision.The short-term dynamic model of stock index futures market is constructed,and it is inferred that the relationship between basis and futures price fluctuations is V-shaped.Through empirical analysis of stock index futures data,it is found that V-shaped relationships of different degrees occur in the first 20 days before the maturity date.Considering the autoregressive conditional heteroscedasticity(ARCH) effect,the robustness analysis is conducted,and the result is found to be consistent with the model inference.

关 键 词：基差 价格波动 股指期货 均衡理论 广义自回归条件异方差模型 

分 类 号：F830.9[经济管理—金融学]