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主要市场股指期货套利机会研究
股指期货·金融
工程
路基工程安全技术交底工程项目施工成本控制工程量增项单年度零星工程技术标正投影法基本原理
股指期货系列
报告
软件系统测试报告下载sgs报告如何下载关于路面塌陷情况报告535n,sgs报告怎么下载竣工报告下载
(九)
2007 年 5 月 10 日
投资要点
本报告以美国、香港、韩国和台湾四个市场为例,研究了各个市场股指
期货的套利机会与套利收益空间。本报告分两部分,第一部分依次讨论
美国、香港、韩国和台湾等股指期货市场期货与现货的价格偏差、期货
定价偏差以及套利机会等问
题
快递公司问题件快递公司问题件货款处理关于圆的周长面积重点题型关于解方程组的题及答案关于南海问题
,总结出期现套利机会分布与期现套利收
益空间大小等规律。第二部分主要分析美国、香港、韩国和台湾等四个
股指期货市场的跨期套利机会分布和跨期套利收益空间大小等问题,
期现套利:(1)期现套利机会,股指期货上市初期套利机会多于市场成
熟时期,随着市场发展期限套利机会迅速减少;负套利机会多于正套利
机会;次近月合约套利机会多于近月合约。(2)期现套利收益空间,股
指期货上市初期期现套利机会较大,甚至可以说具有暴利收益,但是随
着市场的发展与成熟,期现套利收益空间快速下降;次近月合约期现套
利的收益空间较近月合约期现套利的收益空间大。(3)不同市场的期现
套利机会和套利收益空间均相差较大。台湾市场期现套利机会较多,期
现套利收益空间较大。
跨期套利:(1)跨期套利机会,股指期货上市初期跨期套利机会较多,
但随着市场发展跨期套利机会下降速度相对较慢,即使是市场比较成熟
时期仍存在较多的跨期套利机会;正套利机会和负套利机会基本相同。
(2)跨期套利收益空间,与期现套利相比较,跨期套利收益空间略小,
且不同时期分布相对均匀;正套利收益空间和负套利收益空间相当。(3)
不同市场的跨期套利机会和跨期套利收益空间存在较大差异。香港股指
期货市场发展比台湾市场成熟,因此,在大多数时候(除 98 年亚洲金
融危机时期外),台湾市场跨期套利机会多于香港市场,其跨期套利收
益空间也大于香港市场。
本报告在附录部分详细叙述了股指期货的持有成本定价法以及考虑市
场限制的区间定价法,并且在此基础上讨论了期现套利与跨期套利原
理。
股指期货套利方法及策略。我们同时针对股指期货套利方法和策略进行
了详细的研究,具体内容可以参考随后推出的研究报告《股指期货系列
报告—股指期货推出后的套利机会及套利策略(上)-期现套利》和《股指
期货系列报告—股指期货推出后的套利机会及套利策略(下)-跨期套
利》。
中信证券金融工程组
严高剑
电话:010-84588093
邮件:yangj@citics.com
胡浩
电话:010-84588430
邮件:huhao@citics.com
于新力
电话:010-84588423
邮件:yxl@citics.com
李灏
电话:010-84588693
邮件:lihao@citics.com
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主要市场股指期货套利机会研究
2007 年 5 月 10 日
目 录
主要结论 ··························································································································································································· 1
全球主要市场股指期货期现套利机会 ·········································································································································· 2
一、研究对象选择 ·······························································································································································2
二、现货走势与期现偏差走势············································································································································2
三、期货定价偏差分析 ·······················································································································································3
四、期现套利机会分析 ·······················································································································································4
全球主要市场股指期货跨期套利机会 ·········································································································································· 6
一、不同期限合约价差走势 ···············································································································································6
二、跨期套利机会分析 ·······················································································································································6
附录 1:股指期货定价与套利 ·····················································································································································27
一、持有成本定价法 ·························································································································································27
二、考虑市场限制区间定价法··········································································································································27
三、定价偏差及期现套利 ·················································································································································28
四、跨期套利·····································································································································································29
主要市场股指期货套利机会研究
2007 年 5 月 10 日
插 图 目 录
图 1:美国 S&P500 股指期货近月合约成交量与次近月合约成交量占比 ·········································································11
图 2:香港 HSI 指数期货近月合约成交量与次近月合约成交量占比 ················································································12
图 3:韩国 KOSPI2 指数期货近月合约成交量与次近月合约成交量占比 ·········································································12
图 4:台湾加权指数期货近月合约成交量与次近月合约成交量占比·················································································12
图 5:美国 S&P500 股指期货近月合约期现偏差(%)走势 ·····························································································13
图 6:美国 S&P500 股指期货次近月合约期现偏差(%)走势 ·························································································13
图 7:香港 HSI 指数期货近月合约期现偏差(%)走势 ····································································································13
图 8:香港 HSI 指数期货次近月合约期现偏差(%)走势 ································································································14
图 9:韩国 KOSPI2 指数期货近月合约期现偏差(%)走势 ·····························································································14
图 10:韩国 KOSPI2 指数期货次近月合约期现偏差(%)走势 ·······················································································14
图 11:台湾加权指数期货近月合约期现偏差(%)走势 ···································································································15
图 12:台湾加权指数期货次近月合约期现偏差(%)走势·······························································································15
图 13:美国 S&P500 股指期货近月合约定价偏差(%)走势 ···························································································15
图 14:美国 S&P500 股指期货次近月合约定价偏差(%)走势 ·······················································································16
图 15:香港 HSI 指数期货近月合约定价偏差(%)走势 ··································································································16
图 16:香港 HSI 指数期货次近月合约定价偏差(%)走势 ······························································································16
图 17:韩国 KOSPI2 指数期货近月合约定价偏差(%)走势 ···························································································17
图 18:韩国 KOSPI2 指数期货次近月合约定价偏差(%)走势 ·······················································································17
图 19:台湾加权指数期货近月合约定价偏差(%)走势···································································································17
图 20:台湾加权指数期货次近月合约定价偏差(%)走势·······························································································18
图 21:美国 S&P500 股指期货近月合约定价偏差(%)分布 ···························································································18
图 22:美国 S&P500 股指期货次近月合约定价偏差(%)分布 ·······················································································18
图 23:香港 HSI 指数期货近月合约定价偏差(%)分布 ··································································································19
图 24:香港 HSI 指数期货次近月合约定价偏差(%)分布 ······························································································19
图 25:韩国 KOSPI2 指数期货近月合约定价偏差(%)分布 ···························································································19
图 26:韩国 KOSPI2 指数期货次近月合约定价偏差(%)分布 ·······················································································20
图 27:台湾加权指数期货近月合约定价偏差(%)分布···································································································20
图 28:台湾加权指数期货次近月合约定价偏差(%)分布·······························································································20
图 29:香港 HSI 指数期货近月合约套利机会 ·····················································································································21
图 30:香港 HSI 指数期货次近月合约套利机会 ·················································································································21
图 31:台湾加权指数期货近月合约套利机会 ·····················································································································21
图 32:台湾加权指数期货次近月合约套利机会··················································································································22
图 33:香港 HSI 指数期货次近月合约套利收益空间(%) ······························································································22
图 34:台湾加权指数期货次近月合约套利收益空间(%)·······························································································22
图 35:美国 S&P500 指数期货次近月合约与近月合约价差(%)走势 ············································································23
图 36:香港 HSI 指数期货次近月合约与近月合约价差(%)走势···················································································23
图 37:韩国 KOSPI200 指数期货次近月合约与近月合约价差(%)走势 ········································································23
图 38:台湾加权指数期货次近月合约与近月合约价差(%)走势 ···················································································24
图 39:美国 S&P500 指数期货次近月-近月合约价差与均衡价差偏离(%)走势 ···························································24
图 40:香港 HSI 指数期货次近月-近月合约价差与均衡价差偏离(%)走势 ··································································24
图 41:韩国 KOSPI200 指数期货次近月-近月合约价差与均衡价差偏离(%)走势 ·······················································25
图 42:台湾加权指数期货次近月-近月合约价差与均衡价差偏离(%)走势 ··································································25
图 43:香港 HSI 指数期货次近月合约与近月合约跨期套利机会 ······················································································25
图 44:台湾加权指数期货次近月合约与近月合约跨期套利机会 ······················································································26
图 45:香港 HSI 指数期货次近月合约与近月合约跨期套利收益空间(%) ···································································26
图 46:台湾加权指数期货次近月合约与近月合约跨期套利收益空间(%)····································································26
主要市场股指期货套利机会研究
2007 年 5 月 10 日
表
关于同志近三年现实表现材料材料类招标技术评分表图表与交易pdf视力表打印pdf用图表说话 pdf
格 目 录
表 1:各合约主要内容 ····························································································································································8
表 2:不同市场股指期货近月合约与次近月合约定价偏差(BP)对比 ··············································································8
表 3:不同市场股指期货近月合约不同时期定价偏差(BP)对比······················································································8
表 4:不同市场股指期货次近月合约不同时期定价偏差(BP)对比··················································································9
表 5:美国市场股指期货不同时期定价偏差概率分布 ··········································································································9
表 6:台湾市场股指期货次近月合约不同时期定价偏差概率分布 ······················································································9
表 7:韩国市场股指期货次近月合约不同时期定价偏差概率分布 ····················································································10
表 8:香港市场股指期货次近月合约不同时期定价偏差概率分布 ····················································································10
表 9:台湾加权指数期货正向价差套利的交易成本············································································································10
表 10:台湾加权指数期货负向价差套利的交易成本··········································································································11
表 11:恒生指数期货正向价差套利的交易成本··················································································································11
表 12:恒生指数期货负向价差套利的交易成本··················································································································11
表 13:正向套利过程的现金流入流出及套利收益··············································································································28
表 14:反向套利过程的现金流入流出及套利收益··············································································································29
主要市场股指期货套利机会研究
12007 年 5 月 10 日
主要结论
对投资者而言,股指期货具有多种功能:一是套期保值,通过股票现货与
股指期货合约的组合使用,规避系统性风险。二是杠杆性投资工具,股指期货
采用保证金交易方式所产生的杠杆效应满足了一部分投资者通过承担套期保
值者转移的风险以获取高额利润的需求。三是套利功能,根据各自的交易成本
和风险收益特征,投资者能够在股指期货定价发生不同程度的偏离时,进行套
利交易获取无风险收益。
本报告以美国、香港、韩国和台湾四个具有代表性的股指期货市场为例,
研究了各个市场股指期货的套利机会与套利收益空间,为我国沪深 300 指数期
货推出之后进行套利交易提供参考。我们尝试解答:(1)套利机会出现的频率
有多高,它们随着市场的发展是如何变化的?(2)套利收益空间有多大,它
们是如何分布的?
本报告分为两部分。
第一部分,通过研究四个市场的股指期货定价偏差以及期现套利机会,我
们发现了以下规律。
(1)从期现套利机会看:股指期货上市初期套利机会多于市场成熟时期,
随着市场发展期限套利机会迅速减少;负套利机会多于正套利机会;次近月合
约套利机会多于近月合约。
(2)从期现套利收益空间看:股指期货上市初期期现套利机会较多,甚
至可以说具有暴利收益,但是随着市场的发展与成熟,期现套利的收益空间快
速下降;次近月合约期现套利的收益空间较近月合约期现套利的收益空间大。
(3)从市场来看:台湾市场期现套利机会和期现套利的收益空间均大于
香港市场。美国市场发展最为成熟,产生较大定价偏差的概率很小(1991 年以
后定价偏差一直低于 100BP),因此期现套利机会很少。
第二部分,主要研究四个市场的跨期套利机会,得出以下两个结论:
(1)从跨期套利机会看:股指期货上市初期跨期套利机会较多,但是,
与随着市场发展期现套利机会迅速下降不同,跨期套利机会随着市场发展下降
速度相对较慢,即使在市场相对成熟时期仍存在较多的跨期套利机会;正套利
机会和负套利机会基本相同。
(2)从跨期套利收益空间看:与期现套利相较,跨期套利收益空间略小,
且不同时期分布相对均匀;正套利收益空间和负套利收益空间相当。
(3)从市场来看:香港股指期货市场发展较为成熟,因此,在大多数时候
(除 98 年亚洲金融危机时期外),台湾市场跨期套利机会多于香港市场,其跨
期套利收益空间也大于香港市场。
最后,本报告在附录部分详细叙述了股指期货的持有成本定价法以及考虑
市场限制的区间定价法,并且在此基础上讨论了期现套利与跨期套利原理。
同时,我们还针对股指期货套利方法和策略进行详细的研究,具体内容可
以参考随后推出的研究报告《股指期货系列报告—股指期货推出后的套利机会
及套利策略(上)-期现套利》和《股指期货系列报告—股指期货推出后的套利机
会及套利策略(下)-跨期套利》。
主要市场股指期货套利机会研究
22007 年 5 月 10 日
全球主要市场股指期货期现套利机会
本节主要分析美国、香港、韩国和台湾等股指期货市场期现套利机会分布
与期现套利收益空间大小等问题。通过依次讨论期货与现货的价格偏差、期货
定价偏差以及套利机会等,我们得出以下结论。
(1)从期现套利机会看,股指期货上市初期套利机会多于市场成熟时期,
随着市场的发展期现套利机会迅速下降;负套利机会多于正套利机会;次近月
合约套利机会多于近月合约。
(2)从期现套利收益空间看,股指期货上市初期期现套利机会较多,甚
至可以说具有暴利收益,但是随着市场的发展与成熟,期现套利收益空间快速
下降;次近月合约期现套利收益空间较近月合约期现套利收益空间大。
(3)从市场来看,台湾市场期现套利机会和期现套利收益空间均大于香
港市场。美国市场发展最为成熟,定价偏差较大的概率很小(1991 年以后定价
偏差一直低于 100BP),因此出现套利的机会更少。
一、研究对象的选择
本报告主要选择美国、香港、韩国和台湾四个市场作为研究对象。其中美
国、香港股指期货发展比较早,相对成熟;而台湾和韩国则为新兴市场重要代
表。因此,研究这四个市场的套利状况对于沪深 300 指数期货推出之后进行套
利交易具有较大的参考价值。
一般来说,相同标的指数的股指期货在市场上会有不同交割月的若干合约
同时交易。比如说,我国即将推出的沪深 300 指数期货合约将采取当月、下月
以及下两个季月同时交易的
制度
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。因此,在任何交易时间,市场上都会同时存
在四个不同到期日的合约可以交易。通常称最早到期的合约为近月合约,其次
为次近月合约,较晚到期的合约称为远月合约。
由图 1-4 可知,全球各个股指期货市场最活跃的是到期月份近的合约——
近月合约和次近月合约的成交量占总成交量的 95%以上,到期日远的合约交投
稀少、缺乏流动性,不适合作为套利交易的品种。此外,不同地区的情况略有
不同,近月合约成交量占比最高的是韩国市场,达 95%以上;其次为台湾市场,
占比为 80%至 90%之间;而香港、美国市场近月合约成交占比为 70%至 80%之
间(美国、香港市场次近月合约相对活跃,其成交量超过总成交量的 10%)。
由此可见,各个市场的成交量主要集中在近月合约和次近月合约,因此,本文
主要选择各个股指期货市场的近月合约和次近月合约进行套利研究。
二、现货走势与期现偏差走势
定义期现偏差为期货价格相对现货价格的偏离程度,即:
100×期货价格-现货价格期现偏差= %
现货价格
期现偏差绝对值越大,说明期货价格偏离现货价格程度越高。期现偏差大
于零,说明期货价格处于升水状态;期现偏差小于零,说明期货价格处于贴水
状态。除了无风险利率、股息率等成本因素会影响到期现偏差外,市场心理情
绪以及对现货市场未来预期也会对期现偏差产生影响。
主要市场股指期货套利机会研究
32007 年 5 月 10 日
从图 5 至图 12 给出的不同市场不同到期月合约期现偏差走势可以看出,
期货价格围绕现货价格上下波动,且呈现下面几个规律:
(1)股指期货推出初期期现偏差大于成熟时期,随着市场的不断发展和
成熟,期现偏差不断下降。
(2)次近月合约偏差大于近月合约。这是比较容易理解的,一方面,根
据持有成本定价理论可知次近月合约的理论价格与近月合约之间的价格相差
一个因子 2 1( )( )r d T Te − − ,而大多数情况无风险利率均高于红利率,因此
2 1( )( ) 1r d T Te − − > ,从而导致次近月合约与现货偏差大于近月合约与现货的偏差。
(3)当市场波动加剧时,期现偏差将上升。如美国市场在 87 年股灾时期,
香港、韩国市场在 98 年亚洲金融危机时期,期现偏差均有较大幅度上升。
三、期货定价偏差分析
定义期货定价偏差为期货市场价格相对于期货理论价值的偏离程度,即
100×期货市场价格-期货理论价格期货定价偏差= %
期货理论价格
期货定价偏差绝对值越大,反映期货市场价格偏离其理论价值程度越高。
定价偏差大于零,说明期货价格处于溢价状态,当定价偏差高于一定上限,则
期货处于被高估状态;定价偏差小于零,说明期货价格处于折价状态,当定价
偏差低于一定下限,则期货处于被低估状态。
从图 13 至图 20 给出的不同市场近月合约和次近月合约定价偏差走势可以
发现,股指期货定价偏差具有以下几个规律:
(1)股指期货推出初期的定价偏差大于成熟时期,随着市场的发展期现
套利机会迅速下降。进一步,选择各个市场股指期货推出第一年和 06 年数据
进行测算可以发现(见表 4、5),无论是近月合约还是次近月合约定价偏差均
大幅下降,其中次近月合约定价偏差下降幅度大于近月合约。股指期货推出初
期,近月合约定价偏差大约为 15-30BP 之间,其中美国市场为 28.54BP 的负偏
差,香港、台湾市场有大约 15BP 的负偏差,而韩国市场则有 32BP 的正偏差。
到了 06 年,美国、香港和台湾市场近月合约定价偏差平均值均不超过 5BP,韩
国市场也仅为负的 14.76BP。股指期货推出初期,次近月合约定价偏差均较大,
其中美国平均为 146.76BP 的负偏差,香港、台湾分别为 24.63 和 43.96 的负偏
差,韩国则为 369.84 的正偏差。到了 06 年,美国、香港和台湾市场次近月合
约定价偏差平均值均不超过 5BP,韩国市场也仅为负的 86.03BP。
究其原因,我们认为股指期货上市初期,投资者对于股指期货产品相对陌
生,市场参与程度不高,交投不够活跃,市场流动性也低于成熟时期,市场定
价机制不够完善,股指期货价格发现功能不能完全发挥,从而使得定价偏差较
大。随着市场发展与成熟,市场参与度不断提高,投资者情绪更趋平稳、投资
理念更趋理性,使得股指期货的定价更加合理,从而定价偏差有所下降。
(2)股指期货推出初期定价偏差高于 100BP 的概率大于成熟时期;(表
6、7)。由于美国市场推出股指期货时间较早,其发展较为成熟,因此 1991
年以后定价偏差均低于 100BP。而香港、韩国和台湾市场定价偏差高于 100BP
的概率也随时间的发展大幅下降。美国市场股指期货上市第一年,近月合约
定价偏差高于 100BP 的概率为 26.97%,第二年以后此概率降低到 10%以下;
而美国次近月合约定价偏差高于 100BP 的概率在股指期货上市三年后下降到
10%以下。
主要市场股指期货套利机会研究
42007 年 5 月 10 日
股指期货上市初期套利者相对较少,市场出现大的偏差(即错误定价)的
可能也较大。随着套利交易者的不断扩大,尤其是程序套利交易的盛行,一旦
出现定价偏差较大的情况,套利交易者执行套利策略使得其偏差下降。
(3)次近月合约定价偏差大于近月合约。结合表 2 数据可知,从各个市
场推出股指期货到现在整个样本区间内,次近月合约定价偏差同近月合约定价
偏差间存在显著差异。美国、香港、台湾市场次近月合约定价偏差相对近月合
约定价偏差上升 6 至 12BP 左右;而韩国市场两者之间相差 48BP 左右。
(4)次近月合约定价偏差高于 100BP 的概率大于近月合约。表 5 至表 8
数据表明,不仅在股指期货上市初期定价偏差高于 100BP 的概率较高,而且次
月合约定价偏差高于 100BP 的概率也大于近月合约。美国市场在股指期货上市
第一年近月合约定价偏差高于 100BP 的频率为 26.97%,而次近月合约定价偏
差高于 100BP 的频率则高达 68.54%。韩国市场在股指期货上市第一年近月合
约定价偏差高于 100BP 的频率为 50.77%,而次近月合约定价偏差高于 100BP
的频率则高达 93.85%。
我们认为,近月合约和次近月合约之所以表现出不同的定价偏差特征,主
要是因为交割时间越长,投资者判断指数未来走势难度越高,判断结果越容易
出现较大偏差。
(5)当现货市场波动加剧时候定价偏差高于 100BP 的频率也上升。如 87
年股灾时期的美国市场以及 98 年东南亚金融危机时期香港、韩国市场定价偏
差高于 100BP 的概率较前一年均有较大幅上升。这主要是因为股指期货具有价
格发现功能,通常其价格变化领先于现货市场,因此当市场波动加剧时,其价
格变动可能大幅领先于现货市场从而导致定价偏差上升。
(6)总体来看,美国市场发展比较成熟,其定价偏差较为集中。美国市
场近月合约定价偏差主要分布在[-1%,+1%]之间,而次近月相对分散,小于-1%
的定价偏差的概率略有上升。美国、香港、韩国和台湾市场近月合约定价偏差
均值分别为-5BP、-9.1BP、-5.5BP 和-10.3BP;次近月合约定价偏差均值分别为
-12.3BP、-15BP、-26.8BP 和-22.3BP。(见图 21 至 28)
(7)美国、香港和台湾市场均表现出负偏差的机会大于正偏差,而韩国
则相反。其中美国、香港、韩国和台湾市场近月合约负定价偏差的概率分别为
54%、55%、49%和 55%正定价偏差的概率分别为 46%、45%、51%和 45%;而
次近月合约负定价偏差的概率分别为 52%、56%、47%和 54%,正定价偏差的
概率分别为 48%、44%、53%和 46%。
四、期现套利机会分析
上一节根据持有成本定价方法对不同国家股指期货定价偏差进行分析,本
节则根据成本修正之后的区间定价法对于香港、台湾两个市场的套利机会进行
分析。根据附录中对区间定价法与持有成本定价法的阐述可知,当定价偏差突
破一定界限,足以覆盖交易成本等市场限制时就会出现套利机会。
区间定价法参数设置如表 9 至表 12 所示。根据区间定价法计算可得香港
和台湾市场套利机会和套利收益空间见图 29 至图 34,它们具有以下规律:
(1)上市初期期现套利机会较多。从图 29 至图 32 可以知道,1992 年香
港恒生指数期货近月合约有 30%的频率出现套利机会,而到了 1997 年该频率
下降到 15%左右,最近几年只有不到 5%的交易日出现套利机会。同样,台湾
市场除了股指期货推出第一年有 70%的交易日出现套利机会,此后该频率下降
到 30%至 40%之间。
主要市场股指期货套利机会研究
52007 年 5 月 10 日
(2)上市初期期现套利收益空间较大。除 98 年亚洲金融危机期间,香港
市场套利收益空间自 92 年以来快速下降,至 2000 年以后年平均期现套利收益
空间不到 5%,部分年分近月合约期现套利收益空间甚至不到 1%。台湾市场虽
然近几年仍具有较大的期限套利收益空间,但与上市初期年 70%以上的套利收
益空间相比,近两年近月合约期现套利收益空间不到 10%,其下降速度也是非
常快的。
(3)与正套利机会相比,负套利机会明显更多。在香港和台湾两个不同
市场、近月和次近月两个不同期限上均表现出这个规律。从股指期货推出至
2006 年底,台湾市场近月合约出现正套利机会的概率为 13.74%,而出现负套
利机会的概率为 19.12%;次近月合约出现正套利机会的概率为 15.52%,而出
现负套利机会的概率为 28.31%。香港市场从 1992 年至 2006 年,近月合约出现
正套利机会的概率为 3.31%,出现负套利机会的概率为 6.32%;次近月合约出
现正套利机会的概率为 6.64%,而出现负套利机会的概率为 10.48%。
与正套利策略相比,执行负套利策略需要买入期货卖出现货,其执行难度
通常会大于正套利策略。因此市场执行正套利机会的力量会大于执行负套利机
会的力量,从而使得负套利机会更多。
(4)与近月合约相比,次近月合约出现套利机会的概率更大(包括正套
利机会和负套利机会)。1998 年至 2006 年,台湾市场近月合约出现套利机会概
率为 32.86%,而次近月合约出现套利机会的概率为 43.83%。1992 年至 2006
年,香港市场近月合约出现套利机会的概率为 9.63%,而次近月合约出现套利
机会的概率为 14.12%。
(5)从套利收益空间来看,次近月合约套利收益空间大于近月合约。香
港市场 1992 年以来近月合约平均年套利收益空间为 10.53%,而次近月合约平
均年套利收益空间为 19.30%;台湾市场股指期货上市以来近月合约和次近月合
约年平均套利收益空间分别为 38.81%和 61.61%。(见图 33 和图 34)
(6)与香港市场相比,台湾市场套利机会较多,套利收益空间均较大。
香港恒生指数期货推出的时间远远早于台湾加权指数期货。因此,当我们考虑
同样一个时间段,我们发现,台湾市场的套利机会较多,而香港市场的套利机
会较少。这是由于,香港推出股指期货较早。恒生指数期货于 1986 年推出,
而台湾加权指数期货 98 年才推出。股指期货在推出初期更容易偏离现货,待
运行时间较长后,投资者情绪更趋平稳,投资者的理念更趋理性,从而使得股
指期货的定价发现机制更加完善,套利机会大幅下降。
主要市场股指期货套利机会研究
62007 年 5 月 10 日
全球主要市场股指期货跨期套利机会
本节主要分析美国、香港、韩国和台湾等四个股指期货市场的跨期套利机
会分布和跨期套利收益空间大小等问题,得出以下结论。
(1)从跨期套利机会看,股指期货上市初期跨期套利机会较多;但是,
与随着市场发展期现套利机会迅速下降不同,跨期套利机会随着市场发展下降
速度相对较慢,即使是市场较为成熟时期,仍存在较多的跨期套利机会;正套
利机会和负套利机会基本相同。
(2)从跨期套利收益空间看,与期现套利相较,跨期套利收益空间略小,
且不同时期分布相对均匀;正套利收益空间和负套利收益空间相当。
(3)从市场来看,香港股指期货市场发展较为成熟,因此,在大多数时候
(除 98 年亚洲金融危机时期外),台湾市场跨期套利机会多于香港市场,其跨
期套利收益空间也大于香港市场。
一、不同期限合约价差走势
根据图 1 至图 4 可知,所有股指期货市场中除近月合约与次近月合约外,
其他合约成交均比较稀少,流动性较弱,不适合作为套利交易对象。因此本节
仅研究近月合约与次近月合约之间的跨期套利。
定义次近月与近月合约的价差为:
2,Tt
FF -
1,Tt
FF × ))(( 12 TTdre −−
其中,
2,Tt
FF ,
1,Tt
FF 分别为到期日是 2T , 1T (不妨假设 2T > 1T )的股指期货
合约在时刻 t 的价格。r, d 分别为无风险利率和红利率。
图 35 至图 38 给出了美国、香港、韩国和台湾四个市场股指期货上市以来
次近月合约和近月合约的价差走势图。从图中可以发现各个市场股指期货上市
初期该价差偏离 0 值较大。而且,香港和韩国市场在 98 年亚洲金融危机期间
该价差也相对增大。
二、跨期套利机会分析
根据附录中跨期套利原理可知,当次近月合约与近月合约偏离均衡价差幅
度过大,足以覆盖交易成本时,跨期套利机会出现。
通过对每个市场的次近月与近月合约价差进行月度平均,记平均值为 D。
我们将 D 作为下一个月度的均衡价差估计值。
定义次近月-近月合约价差与均衡价差偏差=2×(次近月与近月合约价差-
均衡价差)/(近月合约点位+次近月合约点位)×100%
该偏差绝对值大小,反映了次近月合约和近月合约价差的偏离程度,绝对
值越大,说明次近月合约和近月合约价格偏离越大。当该偏差大于零,说明次
近月合约与近月合约之间的价差大于均衡价差;当该偏差小于零,说明次近月
合约与近月合约之间的价差小于均衡价差。
对香港和台湾市场均衡价差进行计算可以发现,两个市场各个月份均衡价
差之间相差不大。总体来说,从 1992 年到 2006 年香港市场平均均衡价差为-5.09
点,而台湾市场从 1998 年至今平均均衡价差