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目前我国股票指数期货的设立近在咫尺,而定价问题是建立股指期货市场的首要问题。本文介绍了强式有效市场和弱式有效市场的股指期货的定价模型,指出了它们在我国不适用的原因。进而根据套利交易过程中的所有现金流量之现值至少须超过交易成本的原理,综合考虑了交易成本、借贷利率不等、卖空限制这些因素,得出了我国的股指期货的合理定价区间。最后对影响股指期货定价的心理预期,税收等其它相关因素进行了讨论。
At present, the establishment of China’s stock index futures is close at hand, and the pricing issue is the most important issue for the establishment of the stock index futures market. This paper introduces the pricing models of stock index futures in the strong and weak efficient markets and points out the reasons why they are not applicable in our country. Furthermore, according to the principle that the present value of all the cash flows in the arbitrage transaction should at least exceed the transaction cost, the reasonable pricing interval of the stock index futures in our country is obtained by comprehensive consideration of transaction costs, loan interest rates and short selling restrictions. Finally, the psychological expectations of the impact of stock index futures pricing, taxes and other related factors were discussed.