商业经济与管理

文章以我国沪深300股指期货为研究对象,使用ETF与股指期货构造套利组合并通过无套利定价原理得到期货理论价格区间后,结合股指期货实际价格定义出文中使用的定价相对位置指数,并使用基本回归模型检验这一指数对股指期货基差和收益率的预测能力。最终得出结论:期货实际价格在理论区间内相对位置的变动可以由情绪解释一部分,文中定义的定价相对位置Pt具有对股指期货基差良好的预测能力,但对收益率的预测能力不足。

In this paper,we use HS300 stock index futures for this study. After obtained the futures' theoretical pricing range with no-arbitrage pricing theory,we figure out an index called the relative position of stock index futures pricing with actual price of futures. Then we use basic regression model to examine its predictive ability on basis and yield of HS300 stock index futures. We ultimately get the following conclusions: changes of actual price of futures between its theoretical pricing range are partly affected by sentiment; the relative position defined in this paper has well predictive ability on basis of HS300 stock index futures,but not on yield.