摘要
本文研究沪深300股指期货定价偏差影响因素及其非线性调整特征。研究发现,市场中以正向定价偏差为主,期货价格持续高估可以由交易成本来解释一部分,到期时间越长定价偏差越高,波动率与正向定价偏差呈现出正相关性。采用TAR模型分段研究表明,定价偏差向均衡水平的调整表现出非线性特征。2010年负向定价偏差调整速度较快,但所占比重较低;2011年上半年正向定价偏差调整速度明显加快,且所占比重较高,定价偏差回归理性调整路径。本文的研究能够对提高股指期货市场定价效率,促进期货市场价格发现功能有效发挥提供重要的参考依据。
This paper analyzes the influence factors and nonlinear adjusting feature for the CSI 300 Index Futures mispricing. Results find that positive mispricing dominate the market, transaction cost can partially explain the persistent overestimate of futures prices. The longer the futures contract maturity, the higher the mispricing. There is positive correlation with index vola- tility. The adjusting process for mispricing exhibits nonlinear feature. During the year 2010, negative mispricing has low propor- tion, but with quicker adjusting speed, and in the first half of 2011, there is mainly positive mispricing, its adjusting speed ac- celerates significantly, mispricing comes back to the rational adjusting route. This study can provide reference for improving the pricing efficiency and price discovery function of futures market.
出处
《投资研究》
北大核心
2013年第10期83-97,共15页
Review of Investment Studies
基金
国家自然科学基金面上项目(编号:NO.71271173)
国家自然科学基金青年项目(编号:NO.71073129)
中央高校基本科研业务专项基金(编号:JBK.120211)资助
