本报告为摩根大通全球量化与衍生品策略团队发布的《全球股票指数期货展期图集》，截至2026年9月底，系统梳理全球主要股票指数期货的展期成本（Roll Cost）。报告介绍展期成本的计算方法：以合约到期前最后十个交易日为展期期，按成交量加权计算展期价差相对理论公允价值的溢价/折价，公允价值采用持有成本法（现货价格加融资成本、减除税后现金股息）估算，并列出各指数所用的利率与股息预扣税率假设（如日本采用日元OIS利率、香港采用HIBOR、中国/韩国/台湾/印度/马来西亚/印尼/泰国采用离岸利率等）。
This is J.P. Morgan's Global Equity Index Futures Roll Chartbook (as of end-September 2026), produced by the Global Quantitative & Derivatives Strategy team. It summarizes the roll cost for the main global equity index futures. The methodology defines the roll cost as the volume-weighted average premium/discount of the futures roll spread versus estimated fair value over the roll period, using the last ten trading days prior to expiry (excluding the last trading day). Fair value is estimated via the cost-of-carry method: cash price plus financing charges less cash dividends net of taxes, with interest rate and cash dividend withholding tax assumptions stated for each index (e.g., JPY OIS for Japan, HIBOR for Hong Kong, offshore rates for Korea, Taiwan, India, Malaysia, Indonesia and Thailand). The report covers dozens of index futures across Asia Pacific, Europe and the Americas (e.g., TOPIX, Nikkei 225, KOSPI 200, Hang Seng and Hang Seng China Enterprises, MSCI China, FTSE China A50,