摘要
股指期货作为我国首推的一款金融衍生产品,具有回避股市系统风险和增强市场流动性等重要功能,它的推出对广大机构投资者而言意义重大。本文重点探讨股指期货期现套利的投资策略,并在考虑交易成本的前提下,给出了更为接近现实的区间定价模型和复制指数的投资组合模型。
As the first financial derivative products of our country, stock index futures have the effect of avoiding the stock market system risk and enhancing market liquidity, and other important roles, so it is of great significance for institutional investors. This paper describes the characteristics of stock index futures and discusses the investment strategy and risk of arbitrage in the stock index futures. In the premise of taking into account transaction costs, we obtain the more realistic pricing model interval and index Portfolio model of copying index.
关键词
股指期货
期现套利
现货组合
Index future
Srbitrage in index future and the spot index
Index portfolio
