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股指期货的重要功能是发现价格、规避风险,大量套利者的存在是股指期货实现其基本功能的前提条件。股指期货产品上市之初,由于投资者和市场本身的不成熟,股指期货市场有效性不足,股指期货合约价格波动幅度较大,市场蕴育着大量的套利机会,这一点在新兴的市场表现尤其明显。本文从期现套利的基本思路、基本原理出发,首先介绍了股票市场与股指期货市场之间如何产生了套利机会,套利的利润又是如何得来的;然后我们利用持有成本模型阐述了股指期货的定价原理,一旦我们能够得到股指期货合约的理论价值,那么我们就可以据此测算无套利区间的上下边界,准确估计市场交易成本是取得精确的无套利区间边界的必要条件。在现有的我国股票市场,运用沪深300股指期货进行套利需要注意五个方面的风险。
The important function of stock index futures is to find the price and avoid the risk. The existence of a large number of arbitrageurs is a prerequisite for the realization of the basic functions of stock index futures. The beginning of the listing of stock index futures products, due to the immaturity of investors and the market itself, the lack of effectiveness of the stock index futures market, stock index futures contract price volatility, the market contains a large number of arbitrage opportunities, which in emerging markets, especially obvious. Starting from the basic idea and basic principle of arbitrage, this article first introduces how arbitrage opportunity arises between the stock market and stock index futures market, and how profits of arbitrage come from; then we use the cost of ownership model to expound the stock index Once we get the theoretical value of the stock index futures contract, we can calculate the upper and lower bounds of the arbitrage-free interval, and accurately estimate the market transaction cost is the necessary condition for getting the accurate arbitrage-free bounds. In the existing stock market of our country, we need to pay attention to the risks in five aspects when using the CSI 300 stock index futures to arbitrage.