中信证券：金融工程－股指期货系列

－主要市场股指期货套利机会研究

05．10 35页

目 录
主要结论1
全球主要市场股指期货期现套利机会2
一、研究对象选择2
二、现货走势与期现偏差走势2
三、期货定价偏差分析3
四、期现套利机会分析4
全球主要市场股指期货跨期套利机会6
一、不同期限合约价差走势6
二、跨期套利机会分析6
附录1：股指期货定价与套利27
一、持有成本定价法27
二、考虑市场限制区间定价法27
三、定价偏差及期现套利28
四、跨期套利29

插 图 目 录
图1：美国S&P500 股指期货近月合约成交量与次近月合约成交量占比·········································································11
图2：香港HSI 指数期货近月合约成交量与次近月合约成交量占比················································································12
图3：韩国KOSPI2 指数期货近月合约成交量与次近月合约成交量占比·········································································12
图4：台湾加权指数期货近月合约成交量与次近月合约成交量占比·················································································12
图5：美国S&P500 股指期货近月合约期现偏差（%）走势·····························································································13
图6：美国S&P500 股指期货次近月合约期现偏差（%）走势·························································································13
图7：香港HSI 指数期货近月合约期现偏差（%）走势····································································································13
图8：香港HSI 指数期货次近月合约期现偏差（%）走势································································································14
图9：韩国KOSPI2 指数期货近月合约期现偏差（%）走势·····························································································14
图10：韩国KOSPI2 指数期货次近月合约期现偏差（%）走势·······················································································14
图11：台湾加权指数期货近月合约期现偏差（%）走势···································································································15
图12：台湾加权指数期货次近月合约期现偏差（%）走势·······························································································15
图13：美国S&P500 股指期货近月合约定价偏差（%）走势···························································································15
图14：美国S&P500 股指期货次近月合约定价偏差（%）走势·······················································································16
图15：香港HSI 指数期货近月合约定价偏差（%）走势··································································································16
图16：香港HSI 指数期货次近月合约定价偏差（%）走势······························································································16
图17：韩国KOSPI2 指数期货近月合约定价偏差（%）走势···························································································17
图18：韩国KOSPI2 指数期货次近月合约定价偏差（%）走势·······················································································17
图19：