| 我国沪深300股指期货定价研究; On the Pricing of Hushen 300 Index Futures in China | |
| 郑鸣 ; ZHENG Ming ; 朱德贞 ; ZHU De-zhen ; 倪玉娟 ; NI Yu-juan | |
| 2013-10 | |
| 关键词 | 股指期货定价 pricing of stock index futures 一般均衡模型 general equilibrium model 持有成本模型 Cost and Carry Model 马尔可夫状态转换 Markov-Switching Model |
| 英文摘要 | 郑鸣，厦门大学经济学院教授、博士生导师； 朱德贞，厦门大学经济学院博士研究生; 倪玉娟，海通证券研究所分析师，经济学博士。; 【中文摘要】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。 【Abstract】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. |
| 语种 | 中文 |
| 出版者 | 厦门大学学报（哲学社会科学版）编辑部 |
| 内容类型 | 其他 |
| 源URL | [http://dspace.xmu.edu.cn/handle/2288/94247]  |
| 专题 | 2013年 |
| 推荐引用方式 GB/T 7714 | 郑鸣,ZHENG Ming,朱德贞,等. 我国沪深300股指期货定价研究, On the Pricing of Hushen 300 Index Futures in China. 2013-10-01. |
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