中国股指期货定价及期现套利实证研究的中期报告[摘要]本文旨在通过实证研究，探讨中国股指期货的定价机理及其与现货市场的套利机会，为期货市场的投资者提供决策参考。采用Cointegration分析法研究中国股指期货与现货价格间的长期均衡关系，结果显示两者存在长期均衡关系，但存在价格滞后效应。通过回归分析得出影响中国股指期货价格的关键因素包括现货价格、利率、市场风险等。基于此，建立期现套利模型，结果表明可以通过协整配对交易实现期现套利，但存在交易成本和风险。[关键词]股指期货；定价机理；期现套利；协整[Abstract]ThispaperaimstoexplorethepricingmechanismofChinastockindexfuturesanditsarbitrageopportunitieswiththespotmarketthroughempiricalresearch,providingdecision-makingreferenceforinvestorsinthefuturesmarket.Thecointegrationanalysismethodisusedtostudythelong-termequilibriumrelationshipbetweenChinastockindexfuturesandspotprices.Theresultsshowthatthereisalong-termequilibriumrelationshipbetweenthetwo,butthereisapricelageffect.RegressionanalysisshowsthatkeyfactorsaffectingChinastockindexfuturespricesincludespotprices,interestrates,marketrisk,etc.Basedonthis,anarbitragemodeloffuturesandspotisestablished.Theresultsshowthatarbitragebetweenfuturesandspotcanbeachievedthroughcointegrationpairtrading,buttherearetransactioncostsandrisks.[Keywords]Stockindexfutures;Pricingmechanism;Futuresandspotarbitrage;Cointegration