2013 5

219

JOUNAL OF XIAMEN UNIVESITY Arts Social Sciences

No 5 2013
General Serial No 219

300

1
1
2

1 361005 2 200001

Helmer Longstaff 1991

300
1 300 300
2
3 300

F752 62

0438 0460 2013 05 0124 08

2010 4 300 300

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1983 Cor
nell French

r q T t
S r q
F = Se
T t
CoxIngersoll oss 1985
Hemler Longstaff 1991
NYSE

Wang 2007 225 200

2013 05 11
;
;
124

300

1997 Hemler Longstaff Hemler

Longstaff
Gay Jung 1999 Brailsford Cusack 1997

2008
2011 2007
B S

2011

Helmer Longstaff 300

Hemler Longstaff 1991

max E t e s ln C s ds
C

dw = w dq / q Cdt
C dq / q = uXdt
+ YdZ1 Z1 X Y dX = a + bX dt
+ c XdZ2 dY = d + eY dt + f YdZ3 ad 0be 0Z2 Z3 W
t
Merton 1971 J WXYt = e / ln W + G X

Yt dW = X Wdt + W YdZ1 W WX Y

F WrV
W V r

F WrV = We t A e B r +C V
+

2 e
A =
2

+ e 1 + 2
2 e 1
=

+ e 1 + 2
C = B =

2 +
2

1
2
2

2 e

2
B
+ e 1 + 2

2 1 e
= 2 d = b = e b = 2 d = c
+ e 1 + 2
125

2013

f = 2 2 2 = + 2 + 2 2 0
=

A B C
lnA = 0B = C = 0

F = We

H L
Helmer Longstaff 1991 NYSE 1983 1 1987 11
1
L t = lnA + B r + C V
F WrV e
OLS
W
L t = + r t + V t + t
2
t lnA = 0B = C = 0
L t = ln

= 0 = = 0 2
L t = + br t + V t + t
3
= b Wald = 0b = 1 = 0


Helmer Longstaff 1991 t t t
lnA B C t lnA B
C

2
2
2
lnA 0 ' + lnA 0 ' 0 + 0 C' 0 + C 0 1 =
lnA 0 '2 lnA 0 1 = B' 0 2 = B 0 1 = C' 0 + 2 = C 0

L t = 1 t + 2 2t + 1 t r t + 2 2t r t + 2 2t V t + t
2007

MS AMA
1998 M s t 1M y t =
Krolzig
y1t y Kt 't = 1T p MS AMA
y t = s t + s t X t + u t u t N 0 s t
126

300

s t i j
M

p ij = Pr S t +1 = j | s t = i p ij = 1ij 1M
j =1

MS AMA
s t
MS AMA MS AMA
L t = s t L t 1 + 1 s t t + 2 s t 2t + 1 s t t r + 2 s t 2t + 1 s t t V t
+ 2 s t 2t V t + t 1 1 s t t 1
4
u t N 0 s t s t
AMA
AICSC HQ

300 2010 4 19 2010 4 19
2012 10 24 300

W t 300 F t 300
r t t 1
1 V t 300 300
5 300 t
10 10 /365 t 300
t 300 5
Wind

1 2 A 5
7

t

300
1 300 300
300 2
/ 3 300
A A
4
300

127

2013

300

1 300
L t 300
2798 17
0 0228
0 0036
0 0387
0 0415 0 032
2806 18
1

Ft

Wt

Lt

rt

Vt

2806 18

2798 17

0 0228

0 0036

0 0387

0 0415

0 0320

2776 00

2768 79

0 0035

0 0030

0 0389

0 0400

0 0236

3606 00

3548 57

0 1641

0 0353

0 0972

0 0924

0 2020

2195 00

2184 89

0 0000

0 0181

0 0000

0 0174

0 0067

330 84

326 73

0 0374

0 0055

0 0258

0 0137

0 0251

0 1786

0 1236

2 2657

1 3180

0 1543

0 5426

2 6298

2 0780

2 0157

7 8334

8 3344

1 8852

3 3524

12 3301

r t V t
0 17 0 45 1%
L t 0 19
V t r t 0 2193

H L
OLS 3
^

L t = 0 0005 + 1 0684 r t + 0 0418V t

T

1 20

6 57

4 96

r t V t 1% V t
L t r t
L t Wald
a = 0b = 1 = 0
610 = 43 179 1%
LinesF 1

128

300

MS AMA

OXMETICS 6 MS AMA
4 AICSC
HQ

0 1 t

2
2
t t r

2
0 1
0 1272 1 2
0 0201 0 0
0 9799 1 1 0

Markov Switching AMA

A 1
9 290
0 638 *
3 430
MA 1
0 217 *
t r
2 190
0 01
t V
0 831
1 220
2
1 999
t V
12 436
t s = 0
5 970
0 134 *
t s = 1
2 780
0 212 *
14 600
s = 0
0 0029 *
6 610
s = 1
0 0069 *
p 0 | 0
41 900
0 9799 *
1 979
p 0 | 1
0 1272
*

5% 10%
: ( 1) 1%
( 2) p{0 | 0} t 0 t + 1
0 ; p{0 | 1} t 0 t + 1
1 ( 3) ACH

MS AMA

8729 0 1 3

0 1 0 0029 0 0069 1
3 1 Lt 0 Lt
^

Lt =

2
st = 0
0 638* Lt 1 + 0 134* t + 0 01 t r t + 0 831 t V t 12 436 2t Vt + t 1 0 21* t 1

0 638* Lt 1 + 0 212* t + 0 01t rt + 0 831t Vt 12 4362t Vt + t 1 0 21* t 1

st = 1
L t AMA t t r t

2
L t t V t V L t
t 0 0 134 1 0 212
1 t L t

L t 4
129

2013

0 1

: 1 613 2010 4 19 2012 10 24

L t L t = ln Fe / W
^

L
F t = W t e t Bias = F t F t

11 MS AMA 7 MS AMA 5

Helmer Longstaff 1991 300

2010 4 19 2012 10 24
1

Wald
2
57
3 MS AMA
130

300

t t r t Lt
2

t V t t V Lt
4
11 7 300
MS AMA

2007 5

2011 300 7

2008 300 6

BrailsfordT J and A J Cusack1997A Comparison of Futures Pricing Models In a New Market The Case of
Individual Share FuturesJournal of Futures Markets17
CornellB and K French1983Taxes and the Pricing of Stock Index FuturesJournal of Finance38 3
CoxJ CJ E IngersollJr and S Aoss 1985An Intertemporal General Equilibrium Model of Asset
PricesEconometrica53
GayG D and D Y Jung1999A Further Look at Transaction CostsShort Sale estrictions and Future Market
Efficiency The Case of Korean Stock Index FuturesJournal of Futures Markets19
HemlerM L and F A Longstaff1991General Equilibrium Stock Index Futures Prices Theory and Empirical
EvidenceThe Journal of Financial and Quantitative Analysis26 3
Krolzig H M1998Predicting Markov switching vector antoregressive processesMimeoInstitue of Economic
and StatisticsUniversity of Oxford
Merton C
1971Optimum Consumption and Portfolio ules in a Continuous Time ModelJournal of Economic
Theory12
Wang Janchuang
2007Testing the General Equilibrium Model of Stock Index FuturesInternational esearch
Journal of Finance and Economics10

On the Pricing of Hushen 300 Index Futures in China

ZHENG Ming1 ZHU De-zhen1 NI Yu-juan2
1 School of EconomicsXiamen UniversityXiamen 361005Fujian
2 Insitute of Haitong Securities Co LtdShanghai 200001China
Abstract Stock index futures play an important role in risk management and market efficiency improvementand
reasonable pricing is the prerequisite for this role This paper studies the pricing of Hushen 300 index futures using
Helmer Longstaffs general equilibrium model of pricing of stock index futures in fluctuation of interests and market
and the Markov-Switching Model Our findings are 1 The timing of dividend payout of Hushen 300 listed companies
has obvious seasonality Thereforethe time-variant dividend yield is crucial in the pricing of Hushen 300 index
futures 2 The volatility of stock index has significant explanatory power on the pricing of index futureswhich
suggests that the volatility of stock index should be considered in the pricing of index futures 3 The general
equilibrium model performs better than the Cost and Carry Model on the pricing of Hushen 300 index futures
Key words pricing of stock index futuresgeneral equilibrium modelCost and Carry ModelMarkov-Switching
Model
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