浅析沪深300股指期货是否存在套利空间.doc

本科毕业论文 科研训练、毕业设计 浅析沪深300股指期货是否存在套利空间 A Brief Estimation of the Possibility of Arbitrage for the Hushen 300 Index Futures 姓 名李亚争 学 院经济学院 系金融系 专 业金融工程 年级2006级 学 号15620062201464 指导教师（校内） 陈蓉 职称教授 指导教师（校外） 职称 2010 年 5 月 16 日浅析沪深300股指期货是否存在套利空间 摘要本文首先介绍了沪深300 股指期货的基本现状，然后从期现套利的基本原理出 发，介绍了股票市场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.一旦我们能够得到标的资产的实际价值和 市场交易费用等条件，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 成本是精确的无套利区间边界的必要条件。在中国市场，由于股票卖空等条件的诸多限制限 制，股指期货不存在理论下限，但理论上限确实存在。 通过与香港恒升股指期货的数据比较，发现恒升股指期货实际价格严格位于无套利上下 限之间，而沪深300股指期货的实际价格并非严格低于其理论上限，往往存在较大的套利空 间。本文试图从心理预期、追踪误差和交易时滞等现实因素角度解释股指期货价格高于理论 上限，并列举了现实中套利难以实现的因素。最后得出结论，一方面沪深300股指期货存在 较大的套利空间；另一方面，这种套利空间并不稳定，仍需时间的检验。 关键词 沪深300股指期货 无风险套利 无套利定价A Brief Estimation of the Arbitrage Possibility for the Hushen 300 Index Futures Abstract This paper first introduces the Hushen 300 index futures, and then founded a model that describes how to arbitrage between the stock and the futures markets. Given the price of the Hushen 300 Index and market settings, we can thus measure the arbitrage-free interval and accurately estimate the upper and lower boundaries for the futures. Considering the short-selling restrictions, we found no lower limit but an exact upper limit for the Hushen 300 Index Futures. Using the Hong Kong Hang Seng index futures data for comparison, we found that the actual price of the Hang Seng stock index futures lies strictly between the upper and lower limits, while the Shanghai and Shenzhen 300 stock index futures is not strictly less than the actual price of the theoretical upper limit arbitrage possibility exists. To explain this irrational phenomenon, we referred to psychological expectations, tracking error and transaction delays and listed some real-world difficulties for arbitrage. In conclusion on the one hand there is a300 Index futures arbitrage space; the other hand, this arbitrage possibility is not stable and must stand the test of time. Key Words Hushen 300 Index Futures Arbitrage No-Arbitrage Pricing 目录 引言.....................................................................................................................................................................1 第一章 沪深 300股指期货的基本现状...................................................................................................................2 第二章 基于无套利定价原理的股指期货理论上下限估计...................................................................................2 2.1从完美市场假设到现实非完美情况的调整...............................................................................................2 2.2 无风险套利模型..........................................................................................................................................3 2.3 基于香港恒升股指期货的无套利定价效果检验......................................................................................5 2.4 沪深 300股指期货理论上下界估计......................................................................