基于理性预期均衡的金融期货定价研究:信息驱动还是套利驱动?  

Research on Financial Futures Pricing in a Rational Expectations Equilibrium:Information Driven or Arbitrage Driven?

作　　者：陈彬彬 刘善存[2] 张强[3] 曾庆铎 CHEN Binbin;LIU Shancun;ZHANG Qiang;ZENG Qingduo(School of Finance,Shandong University of Finance and Economics;School of Economics and Management,Beihang University;School of Economics and Management,Beijing University of Chemical Technology;School of Economics,Guangdong University of Technology)

机构地区：[1]山东财经大学金融学院,山东济南250014 [2]北京航空航天大学经济管理学院,北京100191 [3]北京化工大学经济管理学院,北京100029 [4]广东工业大学经济学院,广东广州510520

出　　处：《金融研究》2023年第8期170-188,共19页Journal of Financial Research

基　　金：教育部人文社会科学研究青年基金项目(22YJCZH013);山东省自然科学基金青年项目(ZR2020QG026);广东省基础与应用基础研究基金项目(2021A1515110469)的资助。

摘　　要：期货市场是投资者获取信息的重要渠道之一,其价格发现功能有利于提高金融市场有效性、降低信息搜寻成本、改善资本配置效率。本文在理性预期均衡框架下构建包含知情交易者、跨市场套利者和噪声交易者的金融期货定价模型,探究影响现货和期货价格发现功能的市场因素、厘清两市场中不同类型投资者之间的博弈过程、揭示期货价格聚集私人信息的微观机制。研究发现:有限套利市场中,期货的价格同时受知情交易者、噪声交易者和套利者的影响,不一定满足持有成本理论;期货的价格发现功能由知情交易和噪声交易决定,与套利行为无关;期货市场的私人信息精度高于现货时,期货的价格发现水平与交割阶段现货的知情交易程度正相关,套利交易对某个资产价格的相对冲击程度与该资产的价格发现水平负相关。本文有助于监管者、交易机构和投资者从微观视角理解金融期货的价格发现功能,对完善期货市场制度、丰富期货产品、提高衍生品市场效率具有指导意义。The futures market plays a fundamental role in asset price discovery.Improving the efficiency of asset price discovery would help enhance financial market efficiency,reduce information acquisition costs for investors,and promote finance's positive effects on the real economy.China's Futures and Derivatives Law,which came into effect in 2022,indicates the importance of developing the futures market to raise its price discovery function.The cost-of-carry model,a classical futures pricing model,reveals the relationship between futures and spot prices only when there are infinite arbitrageurs.However,this model is not suitable when dealing with limited arbitrageurs and does not illustrate the micro-mechanism of information aggregation in the futures market.Although empirical research indicates that price discovery efficiency in the financial futures market is higher than that in the spot market,a robust theoretical foundation for this relationship is lacking.Thus,we develop a futures pricing model,where informed traders,cross-market arbitrageurs,and noise traders trade within a rational expectations equilibrium framework,to investigate the pricing outcomes of spot and futures markets,characterize the interactions between different types of investors,and uncover the micro-mechanisms of information aggregation in the futures market,the determinants of the price discovery function of spot and futures markets.Given that futures delivery is earlier than the liquidation of spot in the real financial world,we assume that the spot is traded in each period and futures are only traded in the first period in a two-period trading model.The spot is liquidated after the end of the second period and the futures contract is delivered at the equilibrium price of spot in the second period.Informed traders and arbitrageurs exist in the spot and futures markets,but only arbitrageurs can trade across markets.Under these assumptions,we first solve the partial market equilibrium without cross-market arbitrageurs.In this equilibrium,we anal

关 键 词：跨市场套利 期现货价差 价格发现 期货定价 理性预期均衡 

分 类 号：F832.5[经济管理—金融学]