摘要
股指期货的推出,大大提高了股票市场的定价效率。在无套利均衡市场上,股指期货价格由相关股票组合的价格及持有成本决定,股票现货价格成为影响股指期货价格的主要因素。但在动态非均衡市场上,股指期货的价格形成集中并传递大量信息,这些信息通过股指期货市场与股票市场间的套利机制及时传递到股票市场,增加相关股票组合价格的信息含量,引导和发现现货价格。
The development of Index Futures Trading has improved the pricing effi ciency of stock market. The price of relevant stock portfolio determines price o f stock index future in static equilibrium market under the conditions of perfec t market and imperfect market. But the price of stock index future puts together and transfers large amount of information, and can be immediately transmitted b y the arbitrage mechanism between stock market and stock index future market in dynamic non-equilibrium market. Therefore stock index future leads and discoveri es stock price and then is beneficial to the improvement of pricing efficiency o f stock market.
出处
《财经理论与实践》
CSSCI
北大核心
2005年第3期48-53,共6页
The Theory and Practice of Finance and Economics
