本文選題：股指期貨 + 期現(xiàn)套利�。� 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：股指期貨的推出,為我國資本市場引入了風(fēng)險(xiǎn)對沖工具,完善了多層次的資本市場體系的建設(shè)。但是由于其本身杠桿性、零和博弈的特性容易誘發(fā)非理性、投機(jī)性行為,不利于提高市場的定價(jià)效率以及發(fā)揮風(fēng)險(xiǎn)轉(zhuǎn)移的功能。因此,為了能夠促進(jìn)市場的穩(wěn)定、成熟和健康發(fā)展,本文提出加強(qiáng)和完善套利機(jī)制,通過套利來提高市場的定價(jià)效率和穩(wěn)定性,培育出成熟的投資主體。 本文共分為六章。第一章是文獻(xiàn)綜述及相關(guān)理論概述。主要概述國內(nèi)外學(xué)者針對股指期貨合約的定價(jià)、無套利區(qū)間、市場套利機(jī)會以及跟蹤誤差衡量等方面的研究成果。并指出相對于國內(nèi)學(xué)者的研究,本文將立足于真實(shí)的市場數(shù)據(jù)而非仿真交易數(shù)據(jù),建立的模型也充分考慮現(xiàn)實(shí)成本及制度上的因素,使得結(jié)果更加具有現(xiàn)實(shí)意義。另外,重點(diǎn)分析了統(tǒng)計(jì)套利、協(xié)整及誤差修正模型,從而為后文建立跨期套利的模型奠定基礎(chǔ)。 第二章是關(guān)于股指期貨套利的評析。首先詳細(xì)介紹了股指期貨的內(nèi)涵、特征以及意義,其特點(diǎn)是可做空的衍生產(chǎn)品,并采取保證金的交易方式,主要作用在于規(guī)避股票市場系統(tǒng)性風(fēng)險(xiǎn)和價(jià)格發(fā)現(xiàn)。然后闡述了套利的基本概念、特點(diǎn)以及分類,從而能夠?qū)φ麄�(gè)套利有著更為清晰的認(rèn)識。 第三章是針對期現(xiàn)套利的實(shí)證分析。主要是圍繞模型的構(gòu)造、滬深300指數(shù)的復(fù)制、模型參數(shù)的選取、實(shí)證分析等幾個(gè)方面的分析。本章中依據(jù)經(jīng)典的持有成本模型,關(guān)鍵是在充分考慮影響套利的各種成本及制度因素的條件下,建立起與現(xiàn)實(shí)情形比較相符的無套利區(qū)間,并詳細(xì)研究了使用分層市值加權(quán)法來模擬現(xiàn)貨指數(shù),具有很強(qiáng)的現(xiàn)實(shí)指導(dǎo)意義。 第四章是對跨期套利的實(shí)證分析。首先大致介紹了跨期套利的含義和類型；然后在持有成本的理論基礎(chǔ)上,使用協(xié)整和誤差修正的方法建立起跨期套利的數(shù)量化模型；最后詳盡的給出了操作流程,并進(jìn)行實(shí)證分析和檢驗(yàn)。 第五章是對風(fēng)險(xiǎn)管理的分析�；谔桌^程中可能存在的風(fēng)險(xiǎn),使用VAR方法對風(fēng)險(xiǎn)進(jìn)行量化分析和監(jiān)控,并指出這對于監(jiān)管部門加強(qiáng)風(fēng)險(xiǎn)的管理和監(jiān)管政策的制定都有很好的指導(dǎo)作用。 第六章是本文的結(jié)論及對策建議。本章中給出了一些總結(jié)性的結(jié)論,并提出了相關(guān)的對策建議,希望通過制度性的措施來促進(jìn)套利投資策略的完善和充分發(fā)展,從而保障市場長遠(yuǎn)、健康的發(fā)展。
[Abstract]:The introduction of stock index futures has introduced risk hedging tools for China's capital market, and improved the construction of a multi-level capital market system. However, because of its leverage itself, the characteristics of zero sum game can easily induce irrational and speculative behavior, which is not conducive to improving the pricing efficiency of the market and playing the function of risk transfer. In order to promote the stability, maturity and healthy development of the market, this paper proposes to strengthen and improve the arbitrage mechanism, to improve the pricing efficiency and stability of the market through arbitrage, and to cultivate a mature investment subject.
This article is divided into six chapters. The first chapter is a summary of literature review and related theories. It mainly summarizes the research results of domestic and foreign scholars on the pricing of stock index futures contracts, no arbitrage range, market arbitrage opportunities and tracking error measurement, and points out that this paper will be based on real market data rather than the domestic scholars. The simulation transaction data and the established model also fully consider the actual cost and the institutional factors, making the result more realistic. In addition, it focuses on the analysis of statistical arbitrage, cointegration and error correction model, thus laying the foundation for the later model of establishing intertemporal arbitrage.
The second chapter is about the evaluation and analysis of stock index futures arbitrage. First, the connotation, characteristics and significance of stock index futures are introduced in detail. The characteristics of the stock index futures are the derivative products that can be empty, and the margin trading mode is adopted. The main function is to avoid systematic risk and price discovery in the stock market. Then, the basic concepts, characteristics and points of the arbitrage are expounded. Class, so that we can have a clearer understanding of the whole arbitrage.
The third chapter is an empirical analysis of the present arbitrage. This chapter focuses on the construction of the model, the replication of the Shanghai and Shenzhen 300 index, the selection of model parameters, and the empirical analysis. In this chapter, the key is to establish and present the cost and institutional factors that affect the arbitrage under the conditions of the cost and institutional factors that affect the arbitrage. In fact, there is a no arbitrage interval which is consistent with each other, and a detailed study of the use of hierarchical market value weighting method to simulate spot index has great practical guiding significance.
The fourth chapter is an empirical analysis of intertemporal arbitrage. First, it introduces the meaning and type of intertemporal arbitrage. Then, on the basis of the theory of holding cost, the quantitative model of Interperiod arbitrage is established by using cointegration and error correction. Finally, the operation process is given in detail, and the empirical analysis and test are carried out.
The fifth chapter is the analysis of risk management. Based on the possible risks in the process of arbitrage, the VAR method is used to quantify and monitor the risk, and it is pointed out that it has a good guiding role for the regulatory authorities to strengthen the management of risk and the formulation of regulatory policies.
The sixth chapter is the conclusion and Countermeasures of this article. In this chapter, some concluding conclusions are given, and some relevant countermeasures and suggestions are put forward. We hope to promote the perfect and full development of the arbitrage investment strategy through systematic measures so as to ensure the long-term and healthy development of the market.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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