Price expectation and the pricing of stock index futures

被引：11

作者：

Hsu H. ^{[1
]}

Wang J. ^{[2
]}

机构：

[1] Department of Finance, S. Taiwan University Technology, Tainan, Taiwan, Republic of China

[2] Department of Financial Operations, Natl. Kaohsiung First Univ. Sci. T., Kaohsiung, Taiwan, Republic of China

来源：

Review of Quantitative Finance and Accounting | 2004年 / 23卷 / 2期

关键词：

degree of market imperfection; implied method; market imperfection; price expectation;

D O I：

10.1023/B:REQU.0000039510.16484.21

中图分类号：

学科分类号：

摘要：

Capital markets are not perfect or frictionless, and arbitrage mechanism cannot be complete, particularly for index arbitrage. This study constructs a theoretical foundation to explain why the price expectation of the underlying asset should be entered into the pricing formula of stock index futures. The price expectation and incompleteness of arbitrage then are taken into account to develop a pricing model of stock index futures in imperfect markets. This study also presents three approaches for estimating the model parameter. Finally, the concept of the degree of market imperfection is defined and the valuation model is provided.

引用

页码：167 / 184

页数：17

共 33 条

[1] Bhatt S., Cakici N., Premiums on Stock Index Futures-Some Evidence, The Journal of Futures Markets, 10, 4, pp. 367-375, (1990)
[2] Bollerslev T., Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, 31, pp. 307-327, (1986)
[3] Brenner M., Subrahmanyam M.G., Uno J., Arbitrage Opportunities in the Japanese Stock and Futures Markets, Financial Analysts Journal, 46, pp. 14-24, (1990)
[4] Cakici N., Chatterjee S., Pricing Stock Index Futures with Stochastic Interest Rates, The Journal of Futures Markets, 11, pp. 441-452, (1991)
[5] Copeland T.E., Weston J.F., Financial Theory and Corporate Policy, (1992)
[6] Cornell B., French K.R., The Pricing of Stock Index Futures, The Journal of Futures Markets, 3, 1, pp. 1-14, (1983)
[7] Cornell B., French K.R., Taxes and the Pricing of Stock Index Futures, The Journal of Finance, 38, 3, pp. 675-694, (1983)
[8] Cox J.C., Ingersoll Jr. J.E., Ross S.A., The Relation between Forward Prices and Futures Prices, Journal of Financial Economics, 9, pp. 321-346, (1981)
[9] Cox J.C., Ingersoll Jr. J.E., Ross S.A., An Intertemporal General Equilibrium Model of Asset Prices, Econometrica, 53, pp. 363-384, (1985)
[10] Cox J.C., Ingersoll Jr. J.E., Ross S.A., A Theory of the Term Structure of Interest Rates, Econometrica, 53, pp. 385-407, (1985)

← 1 2 3 4 →