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  本文選題：股指期貨 + 跨期套利��； 參考：《廣西大學》2012年碩士論文

【摘要】：2010年4月16日,中國正式推出滬深300指數(shù)期貨,彌補了我國股票市場只能做多不能做空的尷尬局面,為投資者帶來潛在的獲利機會,迎合了市場的需求。由于股指期貨屬于杠桿交易,直接做多或做空股指期貨不但需要精準的判斷力和敏銳的市場嗅覺,同時也要承擔較大的風險,對于投資者而言獲利難度較大。因此,筆者嘗試從中小投資者的角度出發(fā),試圖挖掘出在較低的風險水平下既能穩(wěn)定獲利、又便于操作的套利方法。 期貨套利一般包括期現(xiàn)套利、跨期套利、跨品種套利和跨市場套利。期現(xiàn)套利需要分別在期貨市場和現(xiàn)貨市場建倉,利用期貨與現(xiàn)貨價格差的波動進行獲利。由于在現(xiàn)貨市場建倉需要的資金量較大,不太適應于中小投資者,故本文對其不作分析研究。而現(xiàn)階段我國股票市場還沒有跨品種套利和跨市場套利的機會,故本文著重分析跨期套利。 通過對跨期套利原理的理論分析,可以衍生出各種適合不同情況的套利策略。比如利用某一時點由于指數(shù)的波動導致不同月份的合約價差突然變大,投資者預期價差將逐漸回歸正常水平,則朝著價差縮小的方向開展套利策略。本文通過對2010年4月16日至2011年12月16日的滬深300指數(shù)期貨交易數(shù)據(jù)進行研究分析,依據(jù)不同交割月份的合約價差在多數(shù)情況下逐漸縮小的特點,初步構建出了跨期套利的整體模型：朝著價差縮小的方向開展跨期套利,并進一步融入了止盈止損措施,引入了入市信號的概念,完善了滬深300指數(shù)期貨跨期套利模型。這個模型是本文的創(chuàng)新之處。 隨后,本文對建立的模型進行盈利能力分析,結果顯示本模型在滬深300指數(shù)大幅下跌的情況下獲得了超過10%的年化收益率,不但實現(xiàn)了資產(chǎn)的保值增值,同時也實實在在地為中小投資者提供了一種低風險跨期套利的獲利模式,使其在熊市的大環(huán)境下也能持續(xù)獲利。
[Abstract]:On April 16, 2010, China officially launched the Shanghai and Shenzhen 300 Index Futures, which made up for the embarrassing situation that China's stock market could only do more than short, and brought potential profit opportunities to investors and catered to market demand. Because stock index futures belong to leveraged trading, direct long or short stock index futures need not only accurate judgment and sharp market sense, but also take on greater risks, so it is difficult for investors to make profits. Therefore, from the angle of small and medium investors, the author tries to find out a arbitrage method which can make profits stably and is easy to operate at lower risk level. Futures arbitrage generally includes current arbitrage, cross-term arbitrage, cross-variety arbitrage and cross-market arbitrage. Futures arbitrage needs to build positions in futures market and spot market respectively, and make profits by the fluctuation of futures and spot price difference. Because of the large amount of capital needed in the spot market, it is not suitable for the small and medium-sized investors, so this paper does not make an analysis of it. However, there is no chance of cross-variety arbitrage and cross-market arbitrage in our stock market at present, so this paper focuses on the analysis of cross-period arbitrage. Through the theoretical analysis of the intertemporal arbitrage principle, various arbitrage strategies suitable for different situations can be derived. For example, because of the fluctuation of the index at a certain time point, the contract spread in different months suddenly becomes larger, and investors expect that the spread will gradually return to normal level, and then carry out arbitrage strategy towards the direction of narrowing the spread. This paper analyzes the futures trading data of Shanghai and Shenzhen 300 Index from April 16, 2010 to December 16, 2011, and according to the characteristics of contract price difference in different delivery months, which is gradually narrowing in most cases, the paper analyzes the futures trading data of CSI 300 index from April 16, 2010 to December 16, 2011. The overall model of intertemporal arbitrage is constructed preliminarily: carry out the intertemporal arbitrage towards the direction of narrowing the spread, and further incorporate the stop loss measures, introduce the concept of the signal of entering the market, and perfect the cross-period arbitrage model of Shanghai and Shenzhen 300 index futures. Then, this paper analyzes the profitability of the model, and the results show that the model has achieved an annual rate of return of more than 10% when the CSI 300 index has dropped sharply, which not only achieves the value and appreciation of assets, but also increases the value of assets. At the same time, it also provides a low risk intertemporal arbitrage profit model for small and medium investors, so that they can continue to profit in the bear market environment.
【學位授予單位】：廣西大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51

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