本文關鍵詞： 套利策略 套利收益 套利風險　出處：《復旦大學》2013年碩士論文　論文類型：學位論文

【摘要】：鑒于股票單邊投資以及銅期貨單邊投資風險大,且目前銅期貨套利收益減少的情況,本文以股息貼現(xiàn)模型、有效市場理論、證券組合理論為理論基礎,設計套利策略并進行數(shù)據(jù)驗證,以期推進學術界對期市和股市之間套利策略的研究,擴大投資實務中可選擇的套利組合范圍,提高套利收益率。 本文用股票組合(江西銅業(yè)、銅陵有色、西部礦業(yè)和云南銅業(yè))和三月后交割的上海期貨交易所銅期貨合約構建套利組合,并確定建倉和平倉時間以及操作方向,并運用2008年至2011年的相關數(shù)據(jù)對套利策略的效果進行驗證。在運用數(shù)據(jù)進行驗證時,依次考慮了對股票不同的加權配置方法、套利區(qū)間大小、套利成本對套利效果的影響,最后,得出在構建套利組合時,對其中股票組合包含的股票運用市值乘以自產(chǎn)率的方法進行加權配置,可為投資者帶來更高的投資收益。
[Abstract]:In view of the high risk of unilateral investment of stock and copper futures, and the reduction of arbitrage income of copper futures at present, this paper takes dividend discount model, efficient market theory and portfolio theory as the theoretical basis. The arbitrage strategy is designed and verified in order to promote the academic research on arbitrage strategy between futures market and stock market, expand the range of arbitrage portfolio which can be selected in investment practice, and improve the arbitrage yield. This paper uses stock portfolio (Jiangxi copper industry, Tongling nonferrous industry, western mining industry and Yunnan copper industry) and Shanghai Futures Exchange copper futures contract delivered after March to construct arbitrage portfolio. The time and direction of establishing and closing positions are determined, and the effect of arbitrage strategy is verified by using the relevant data from 2008 to 2011. In turn, we consider the different weighted allocation methods of stock, the size of arbitrage interval, arbitrage cost on the effect of arbitrage. Finally, when we construct arbitrage portfolio. A weighted allocation of the stocks contained in the portfolio using market value's method of multiplying the rate of self-production can bring higher investment returns for investors.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F764.2;F724.5;F832.51

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本文編號：1446264