本文選題：股指期貨 + 套期保值　； 參考：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：2010年4月16日,股指期貨在中國金融期貨交易所正式推出,成為我國期貨市場與金融市場發(fā)展史上的又一件里程碑事件。在短短兩年多時(shí)間里,股指期貨已經(jīng)發(fā)展成為與商品期貨并駕齊驅(qū)的期貨產(chǎn)品,展現(xiàn)出金融衍生品強(qiáng)大的生命力與發(fā)展?jié)摿Α?股指期貨是以股票價(jià)格指數(shù)作為標(biāo)的物的金融期貨,按照交易目的可分為套期保值、套利和投機(jī)三種類型。機(jī)構(gòu)投資者為了現(xiàn)貨資產(chǎn)保值,規(guī)避系統(tǒng)性風(fēng)險(xiǎn),普遍會進(jìn)行股指期貨的套期保值交易,所以目前套期保值交易占據(jù)了市場的主導(dǎo)地位；投機(jī)交易則采取單向做多或做空,可能實(shí)現(xiàn)的收益率最大,但同時(shí)可能承擔(dān)的風(fēng)險(xiǎn)也最大；而套利交易則在基差發(fā)生較大偏離時(shí)在期貨與現(xiàn)貨部位同時(shí)進(jìn)行相反方向的交易,并在基差收斂時(shí)再同時(shí)在期貨與現(xiàn)貨部位反向交易結(jié)束套利,風(fēng)險(xiǎn)可控,且收益穩(wěn)定,從而逐步受到市場重視,成為越來越多投資者獲取穩(wěn)定收益的利器。 理論上,期貨指數(shù)與現(xiàn)貨指數(shù)應(yīng)該維持一致的變動(dòng)趨勢。但在市場現(xiàn)實(shí)環(huán)境中,期貨合約和現(xiàn)貨指數(shù)時(shí)常會發(fā)生偏離,當(dāng)這種偏離達(dá)到一定程度,即扣除各項(xiàng)成本后收益為正時(shí),就產(chǎn)生了套利機(jī)會。股指期貨套利大體分為期現(xiàn)套利、跨期套利、跨品套利和跨市套利。期現(xiàn)套利是目前國內(nèi)利用股指期貨進(jìn)行套利的主要手段,理論與實(shí)踐都比較成熟,所以本論文僅限于研究期現(xiàn)套利。期現(xiàn)套利是指當(dāng)期貨市場與現(xiàn)貨市場價(jià)差發(fā)生不合理變化時(shí),交易者在兩個(gè)市場進(jìn)行反向交易,利用價(jià)差變化獲得無風(fēng)險(xiǎn)利潤的行為。在金融學(xué)中,期現(xiàn)套利是一種無風(fēng)險(xiǎn)套利策略,這里的無風(fēng)險(xiǎn)是指期現(xiàn)套利的本金和建倉時(shí)鎖定的套利收益不受市場絕對價(jià)格波動(dòng)的影響。滬深300股指期貨的交割制度決定了期貨價(jià)格和現(xiàn)貨指數(shù)最終將趨于一致,因而套利建倉時(shí)鎖定的價(jià)差收益能夠?qū)崿F(xiàn),這是期現(xiàn)無風(fēng)險(xiǎn)套利的基本原理和制度依據(jù)。 期現(xiàn)套利需要投資者在買賣股指期貨合約的同時(shí)構(gòu)建現(xiàn)貨頭寸,雖然風(fēng)險(xiǎn)較小,但并不意味著沒有風(fēng)險(xiǎn)�？傮w來說,期現(xiàn)套利主要面臨市場沖擊成本帶來的風(fēng)險(xiǎn),跟蹤誤差及股利發(fā)放引發(fā)的風(fēng)險(xiǎn),流動(dòng)性風(fēng)險(xiǎn)和保證金風(fēng)險(xiǎn)。本論文通過對涉及這些常見風(fēng)險(xiǎn)的案例進(jìn)行剖析,闡釋各種風(fēng)險(xiǎn)對期現(xiàn)套利的影響,從而達(dá)到揭示風(fēng)險(xiǎn)和控制風(fēng)險(xiǎn)的目標(biāo),并提出相應(yīng)的防范措施。
[Abstract]:On April 16, 2010, stock index futures were officially launched in China Financial Futures Exchange, which became another milestone in the history of futures market and financial market in China.In a short period of more than two years, stock index futures have developed into futures products that keep pace with commodity futures, showing the strong vitality and development potential of financial derivatives.Stock index futures are financial futures with stock price index as the subject matter. According to the purpose of trading, they can be divided into three types: hedging, arbitrage and speculation.Institutional investors generally hedge stock index futures in order to preserve their physical assets and avoid systemic risks. Therefore, at present, hedging transactions occupy a dominant position in the market; speculative transactions, on the other hand, are one-way short or short.The possible yield is the highest, but the risk is also the greatest; and the arbitrage trades in the opposite direction of the futures and spot positions when the basis deviates significantly.At the same time, when the basis converges, the arbitrage ends in the reverse trading of futures and spot position at the same time, the risk is controlled and the income is stable, so the market pays more and more attention to it and becomes a sharp weapon for more and more investors to obtain stable returns.In theory, futures and spot indices should maintain a consistent trend.However, in the real market environment, futures contracts and spot indices often deviate. When the deviation reaches a certain level, that is, after deducting the costs, the profit is positive, and then the arbitrage opportunities are generated.Stock index futures arbitrage is generally divided into current arbitrage, inter-term arbitrage, cross-product arbitrage and cross-market arbitrage.Full-time arbitrage is the main means of arbitrage using stock index futures in China at present. The theory and practice are mature, so this paper is limited to the current arbitrage in the research period.Futures arbitrage refers to the behavior of traders trading in opposite direction in two markets when the price difference between futures market and spot market changes unreasonably and making use of the variation of price difference to obtain risk-free profits.In finance, current arbitrage is a risk-free arbitrage strategy, in which the principal amount of the current arbitrage and the arbitrage income locked in when the position is built are not affected by the market absolute price fluctuations.The delivery system of Shanghai and Shenzhen 300 stock index futures determines that the futures price and spot index will eventually converge, so the return of the price difference locked in the arbitrage position can be realized, which is the basic principle and institutional basis of risk-free arbitrage in the future.Futures arbitrage requires investors to build spot positions while buying and selling stock index futures, which, while less risky, does not mean there is no risk.In general, current arbitrage mainly faces the risk of market impact cost, tracking error and the risk caused by dividend payment, liquidity risk and margin risk.Through the analysis of the cases involving these common risks, this paper explains the influence of various risks on arbitrage in the future, so as to achieve the goal of revealing the risks and controlling the risks, and puts forward the corresponding preventive measures.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F724.5

【共引文獻(xiàn)】

相關(guān)期刊論文 前1條

1 朱信國;;試論股指期貨的會計(jì)風(fēng)險(xiǎn)及其控制措施[J];中小企業(yè)管理與科技(中旬刊);2014年08期

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