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股指期货到期时以现金方式交割,交割结算价为最后交易日标的指数最后2小时的算术平均价。理论上期货价格到期时会强制收敛于现货指数,如果出现价差,就会为投资者进行期现套利提供机会。所谓期现套利,是指期货价格与其对应的现货指数之间出现定价偏差时进行的交易。当期货价格高于无套利区间上界时就存在买现货卖期货的正向套利机会,反之就可以进行买期货卖现货的反向套利。
Stock index futures due in cash delivery, delivery settlement price of the last trading day index last two hours arithmetic average price. Theoretically, the futures price will be forced to converge on the spot index when it expires, and if there is a spread, it will provide an opportunity for investors to carry out the arbitrage. The so-called period of arbitrage, refers to the futures price and its corresponding spot index price deviation occurs when the transaction. When the futures price is higher than the upper bound of the no-arbitrage interval, there is a positive arbitrage opportunity to buy the spot to sell the futures, on the contrary, the reverse arbitrage to buy the futures to sell the spot can be carried out.