本文關(guān)鍵詞：我國(guó)股指期貨定價(jià)及期現(xiàn)套利研究　出處：《寧波大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 股指期貨 定價(jià)模型 期現(xiàn)套利 滬深300股指期貨 CVaR方法

【摘要】：股指期貨是金融期貨的一種，具有一般期貨的特征。但由于其標(biāo)的是股票價(jià)格指數(shù)，它是由一籃子股票的價(jià)格平均數(shù)組成，所以其變化的方向與幅度較單一的商品期貨和利率期貨要復(fù)雜的多。自1982年2月24日美國(guó)堪薩斯期貨交易所推出了第一個(gè)股指期貨——價(jià)值線(xiàn)指數(shù)期貨合約以來(lái)，股指期貨交易如雨后春筍般在世界各地發(fā)展起來(lái)。2010年4月16日，我國(guó)滬深300股指期貨在中國(guó)金融期貨交易所上市，首日交易量就達(dá)到了58547手。隨后交易量逐步放大，其名義成交金額已躍居全球股指期貨第二位，僅次于SP500迷你型股指期貨合約。在我國(guó)，股指期貨的發(fā)展剛剛起步，市場(chǎng)還不夠成熟，且僅推出了滬深300一個(gè)品種的股指期貨，所以市場(chǎng)參與者對(duì)投資策略的了解還不夠深入。因此，對(duì)這一重要的金融衍生品的定價(jià)研究顯得尤為重要，并且進(jìn)一步改進(jìn)套利策略。 本文主要是從理論定價(jià)和期現(xiàn)套利兩個(gè)方面對(duì)股指期貨進(jìn)行研究。在股指期貨定價(jià)方面，對(duì)當(dāng)前股指期貨定價(jià)的主流模型，包括完全市場(chǎng)下的持有成本定價(jià)模型，以及非完全市場(chǎng)下的區(qū)間定價(jià)模型和一般均衡模型做了詳細(xì)介紹。之后，用滬深300股指期貨數(shù)據(jù)對(duì)這些模型進(jìn)行了實(shí)證研究，結(jié)合目前經(jīng)濟(jì)形勢(shì)分析了實(shí)證結(jié)果。在股指期貨期現(xiàn)套利方面，結(jié)合之前的持有成本模型和區(qū)間定價(jià)模型對(duì)期現(xiàn)套利策略做了實(shí)證分析，，緊接著簡(jiǎn)單介紹了統(tǒng)計(jì)套利策略。 最后，引入CVaR方法對(duì)滬深300股指期貨做了風(fēng)險(xiǎn)度量研究，并進(jìn)行了實(shí)證分析，驗(yàn)證了該模型的有效性，對(duì)我國(guó)將要推出的其它金融期貨也有重要的借鑒意義。
[Abstract]:Stock index futures is a kind of financial futures, which has the characteristics of general futures. However, because its target is the stock price index, it is composed of the average price of a basket of stocks. So the direction and range of its change is much more complicated than the single commodity futures and interest rate futures. Since February 24th 1982, the Kansas City Futures Exchange has launched the first stock index futures-value line index futures. Since the contract. Stock index futures trading has sprung up all over the world. In April 16th 2010, China's Shanghai and Shenzhen 300 stock index futures were listed on the China Financial Futures Exchange. The first day of trading volume reached 58547. Then the trading volume gradually enlarged, its nominal transaction volume has leapt to the second place in the world stock index futures, second only to the SP500 mini-index futures contract. In China. The development of stock index futures has just started, the market is not mature enough, and only introduced 300 varieties of stock index futures in Shanghai and Shenzhen, so market participants do not have a deep understanding of investment strategy. It is particularly important to study the pricing of this important financial derivative and further improve arbitrage strategy. This paper mainly studies stock index futures from two aspects: theoretical pricing and futures arbitrage. In the aspect of stock index futures pricing, the mainstream pricing model of stock index futures is put forward. Including the holding cost pricing model under the complete market, as well as the interval pricing model and the general equilibrium model under the incomplete market. Using the Shanghai and Shenzhen 300 stock index futures data to carry on the empirical research to these models, combined with the current economic situation to analyze the empirical results, in the stock index futures period arbitrage. Combined with the previous holding cost model and the interval pricing model, this paper makes an empirical analysis of the current arbitrage strategy, and then briefly introduces the statistical arbitrage strategy. Finally, the risk measurement of CSI 300 stock index futures is studied by using CVaR method, and the validity of the model is verified by empirical analysis. Other financial futures to be launched in China will also have important reference significance.
【學(xué)位授予單位】：寧波大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.5;F224

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本文編號(hào)：1420815