Hemler Longstaff Hemler Longstaff Gay Jung 1999 Brailsford Cusack B - S 2011 Helmer Longstaff 300 一股指期货的一般均衡定

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1 JOURNAL OF XIAMEN UNIVERSITY Arts & Social Sciences No General Serial No 郑鸣 1, 朱德贞 1 2, 倪玉娟 Helmer Longstaff F A 引言 A 1983 Cornell French F = Se r - q T - t S r q T - t Cox Ingersoll Ross 1985 Hemler Longstaff 1991 NYSE Wang 郑鸣, 男, 福建福州人, 厦门大学经济学院教授博士生导师 ; 朱德贞, 女, 福建福州人, 厦门大学经济学院博士研究生 ; 倪玉娟, 女, 安徽滁州人, 海通证券研究所分析师, 经济学博士 124

62 A 0438-0460 2013 05-0124 - 08 引言 2010 4 300 300 2012 300 76 A 1983 Cornell French F = Se r - q T - t S r q T - t Cox Ingersoll Ross

2 Hemler Longstaff Hemler Longstaff Gay Jung 1999 Brailsford Cusack B - S 2011 Helmer Longstaff 300 一股指期货的一般均衡定价模型 Hemler Longstaff 1991 max C E t e -ρs ln C s ds t dw = w dq /q - Cdt ρ C dq /q = uxdt + σ 槡 YdZ 1 Z 1 X Y dx = a + bx dt + c 槡 XdZ 2 dy = d + ey dt + f 槡 YdZ 3 a d > 0 b e < 0 Z 2 Z 3 W Merton 1971 J W X Y t = e -ρt /ρ ln W + G X Y t dw = μx - ρ Wdt + σ W 槡 YdZ 1 W W X Y F W r V τ W τ V r A τ = F W r V τ = We -ρt A τ e = C τ = B τ = B τ r +C τ V 1 + β τ 2 e 2 β + e τ e τ - 1 β + e τ α+β η2 ψ + β - γ τ 2ψe 2 ψ + β - γ e ψτ ψ 2δ ξ2 B τ e ψτ ψ + β - γ e ψτ ψ α = μα - σ2 d β = - b γ = e - b δ = σ 2 d η = 槡 μc 125

1971 J W X Y t = e -ρt /ρ ln W + G X Y t dw = μx - ρ Wdt + σ W 槡 YdZ 1 W W X Y F W r V τ W τ V r A τ = F W r V τ = We -ρt A τ e = C τ = B τ = B τ r +C τ V 1 + β τ 2 e 2 β + e τ

3 2013 ξ = σ 槡 f = 槡 β 2-2η 2 ψ = 槡 γ + β 2 + 2ξ 2 β δ η ξ > 0 γ < β A τ B τ C τ lna τ = 0 B τ = τ C τ = 0 F = We γ -ρ τ 二计量模型的设定 H - L Helmer Longstaff 1991 NYSE L t = lna τ + B τ r + C τ V L t = ln F W r V τ eρτ W OLS L t = α + βr t + λv t + ε t 2 α β λ ε t lna τ = 0 B τ = τ C τ = 0 α = 0 β = τ λ = 0 2 L t = α + bτr t + λv t + ε t 3 β = bτ Wald α = 0 b = 1 λ = 0 Helmer Longstaff 1991 α t β t γ t lna τ B τ C τ τ τ t lna τ B τ C τ α τ β τ γ τ α τ lna 0 'τ + lna 0 τ 2 β τ β' 0 τ + β 0 τ 2 λ τ C' 0 τ + C 0 τ 2 α 1 = lna 0 ' α 2 lna 0 β 1 = B' 0 β 2 = B 0 λ 1 = C' 0 + λ 2 = C 0 L t = α 1 τ t + α 2 τ 2 t + β 1 τ t r t + β 2 τ 2 t r t + λ 2 τ 2 t V t + ε t 2007 MS - ARMA Krolzig 1998 M s t 1 M y t = y 1t y Kt ' t = 1 T p MS - ARMA 126 y t = μ s t + β s t X t + u t u t ~ N 0 σ s t

Longstaff 1991 α t β t γ t lna τ B τ C τ τ τ t lna τ B τ C τ α τ β τ γ τ α τ lna 0 'τ + lna 0 τ 2 β τ β' 0 τ + β 0 τ 2 λ τ C' 0 τ + C 0 τ 2 α 1 = lna 0 ' α 2 lna 0 β 1 = B' 0 β 2 = B 0 λ 1 = C' 0 + λ

4 5 300 s t i j M p ij j = 1 p ij = Pr S t +1 = j s t = i = 1 i j 1 M MS - ARMA s t MS - ARMA MS - ARMA L t = λ s t L t -1 + α 1 s t τ t + α 2 s t τ 2 t + β 1 s t τ t r + β 2 s t τ 2 t + λ 1 s t τ t V t + λ 2 s t τ 2 t V t + μ t -1 - θ 1 s t μ t -1 4 u t ~ N 0 σ s t s t ARMA AIC SC HQ 三实证结果 W t 300 F t 300 r t t 1 1 V t τ 300 t 10 τ 10 /365 ρ t 300 t Wind 1 2 A 5 7 t / A A

θ 1 s t μ t -1 4 u t ~ N 0 σ s t s t ARMA AIC SC HQ 三实证结果 300 2010 4 19 2010 4 19 2012 10 24 300 W t 300 F t 300

5 A L t F t W t ρ t L t τ t r t V t r t V t τ L t % V t r t H - L OLS 3 L^ t = τr t V t T τr t V t 1% V t L t τr t L t Wald a = 0 b = 1 λ = 0 LinResF = % 128

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 τ L t - 0. 19 0.

6 5 300 MS - ARMA 2 Markov Switching - ARMA OXMETRICS 6 MS - ARMA T AR * MA * AIC SC τ t r ** HQ τ t V τ 2 t V *** τ t s = * τ t τ t s = * σ s = σ τ 2 t τ 2 t r p *** 在状态 0 时的概率 ; p{0 1} 表示 t 期在状态 0 时,t 仍然在状态 1 时的概率 ( 3) 对模型残差进行 ARCH 效应和自相关效应检验, 发现并不存在条件异方差和自 σ s = * p * 注 : ( 1) * ** *** 和分别表示在 1% 5% 和 10% 的显著性水平 ( 2) p{0 0} 表示 t 期在状态 0 时,t + 1 仍然相关效应, 可认为文章运用的 MS - ARMA 模型较好地解决了自相关和异方差问题, 模型的结论可信 Lt 0 Lt ^ L 2 s t =0 { * L t * τ t **** τ t r t τ t V t *** τ 2 t V t + μ t * μ t -1 =1 t = * L t * τ t **** τ t r t τ t V t *** τ 2 t V t + μ t * μ t -1 L t ARMA τ t τ t r t L t τ t V t τ 2 V L t τ t τ t L t L t 4 s t 129

1272 1 2 仍然在状态 1 时的概率 ( 3) 对模型残差进行 ARCH 效 0. 0201 0 0 应和自相关效应检验, 发现并不存在条件异方差和自 0. 9799 1 1 0. 8729 0 1 3 σ s = 1 0. 0069 * 6. 610 p 0 0 0. 9799 * 41.

7 注 : 横轴分别代表日期日到 L t L t = ln Fe ρτ /W ^ F^ t = W t e L t - ρτ Bias = F t - F^ t 11 MS - ARMA 7 MS - AR- MA 5 5 四结论 Helmer Longstaff Wald MS - ARMA 130

8 5 300 τ t τ t r t Lt τ t V t τ 2 t V Lt MS - ARMA Brailsford T. J. and A. J. Cusack 1997 A Comparison of Futures Pricing Models In a New Market The Case of Individual Share Futures Journal of Futures Markets 17. Cornell B. and K. R. French 1983 Taxes and the Pricing of Stock Index Futures Journal of Finance Cox J. C J. E. Ingersoll Jr. and S. A Ross An Intertemporal General Equilibrium Model of Asset Prices Econometrica 53. Gay G. D. and D. Y. Jung 1999 A Further Look at Transaction Costs Short Sale Restrictions and Future Market Efficiency The Case of Korean Stock Index Futures Journal of Futures Markets 19. Hemler M. L. and F. A. Longstaff 1991 General Equilibrium Stock Index Futures Prices Theory and Empirical Evidence The Journal of Financial and Quantitative Analysis Krolzig. H. M 1998 Predicting Markov - switching vector antoregressive processes Mimeo Institue of Economic and Statistics University of Oxford. Merton R. C Optimum Consumption and Portfolio Rules in a Continuous Time Model Journal of Economic Theory 12. Wang Janchuang 2007 Testing the General Equilibrium Model of Stock Index Futures International Research Journal of Finance and Economics 10. On the Pricing of Hushen 300 Index Futures in China ZHENG Ming 1 ZHU De-zhen 1 NI Yu-juan 2 1. School of Economics Xiamen University Xiamen Fujian 2. Insitute of Haitong Securities Co. Ltd Shanghai China Abstract Stock index futures play an important role in risk management and market efficiency improvement and reasonable pricing is the prerequisite for this role. This paper studies the pricing of Hushen 300 index futures using Helmer & Longstaff s 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. Therefore the 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 futures which 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 futures general equilibrium model Cost and Carry Model Markov-Switching Model 131

French 1983 Taxes and the Pricing of Stock Index Futures Journal of Finance 38 3. Cox J. C J. E. Ingersoll Jr. and S. A Ross.

二工资制度与教师道德风险行为

二工资制度与教师道德风险行为义务教育学校绩效工资改革的经济学分析李萍盘宇章吕荣西南财经大学成都本文利用委托代理理论对义务教育学校绩效工资改革中教师行为和地方政府行为分别进行了分析研究发现绩效工资的最优设计是工资函数中包含一个固定支

Hemler Longstaff Hemler Longstaff Gay Jung 1999 Brailsford Cusack B - S 2011 Helmer Longstaff 300 一 股 指 期 货 的 一 般 均 衡 定

Hemler Longstaff Hemler Longstaff Gay Jung 1999 Brailsford Cusack B - S 2011 Helmer Longstaff 300 一股指期货的一般均衡定