本文關(guān)鍵詞： 國債期貨 跨期套利 傳統(tǒng)套利 統(tǒng)計套利　出處：《山西財經(jīng)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：作為期貨市場中一種常用的套利交易方式,跨期套利為投資者在投資過程中管理資產(chǎn)以及對沖價格波動風(fēng)險提供了有效的工具,同時也保障了金融市場的穩(wěn)定良好運行。我國10年期國債期貨的上市,為投資者和金融機(jī)構(gòu)提供了更為豐富的套利交易品種,豐富了市場交易策略。本文以這一最新上市的國債期貨品種作為研究對象,選擇流動性較高的當(dāng)季連續(xù)和下季連續(xù)合約為研究樣本,從價差套利的角度,在對跨期套利的市場交易參數(shù)以及操作程序進(jìn)行合理設(shè)定的基礎(chǔ)上,運用傳統(tǒng)套利和統(tǒng)計套利這兩種策略,從實證的角度對所選取的樣本數(shù)據(jù)的跨期套利效率進(jìn)行了確定,得出了相應(yīng)的結(jié)論。本文基于傳統(tǒng)套利和統(tǒng)計套利兩種策略對我國10年期國債期貨當(dāng)季連續(xù)和下季連續(xù)合約跨期套利交易的研究主要得出以下結(jié)論:傳統(tǒng)套利策略和統(tǒng)計套利策略在對期貨跨期價差進(jìn)行分析并建立以均衡價差為中心的無套利區(qū)間后,能夠在設(shè)定相應(yīng)的套利交易信號的基礎(chǔ)上,對市場中的跨期套利機(jī)會進(jìn)行有效識別,兩種策略的主要區(qū)別在于價差序列計算方法的不同;在對無風(fēng)險利率、現(xiàn)貨收益率以及相關(guān)套利成本等參數(shù)進(jìn)行設(shè)定的基礎(chǔ)上,運用Matlab程序編程操作,能夠有效捕捉市場中存在的跨期套利機(jī)會;對10年期國債期貨這一最新上市國債期貨品種的跨期套利交易的實證研究表明市場中存在一定的套利空間,運用傳統(tǒng)套利以及統(tǒng)計套利這兩種策略均可獲得一定的跨期套利收益,且策略效果因均衡價差計算方法而異,表現(xiàn)為移動平均法的套利效果優(yōu)于均值法,而在相同移動平均均衡價差計算方法下,從套利收益率、套利交易次數(shù)以及套利成功率等方面綜合來看,傳統(tǒng)套利策略和統(tǒng)計套利策略不存在明顯的優(yōu)劣之分。本文研究所得結(jié)論能夠為投資者進(jìn)行期貨跨期套利交易提供一定的理論參考,同時幫助投資者在10年期國債期貨這一最新國債期貨品種上市初期捕捉市場中的套利機(jī)會,獲得投資收益,從而在一定程度上幫助期貨市場的產(chǎn)品定價更加合理,促進(jìn)我國期貨市場健康穩(wěn)定運行。
[Abstract]:As a common arbitrage trading method in futures market, interterm arbitrage provides an effective tool for investors to manage assets and hedge the risk of price volatility in the process of investment. At the same time, it also ensures the stable and good operation of the financial market. China's 10-year Treasury bond futures listed, for investors and financial institutions to provide a richer variety of arbitrage trading. This paper takes this newly listed treasury bond futures as the research object, selects the current continuous contract with high liquidity and the continuous contract in the next quarter as the research sample, from the angle of spread arbitrage. On the basis of reasonable setting of market parameters and operating procedures of intertemporal arbitrage, two strategies of traditional arbitrage and statistical arbitrage are used. From the empirical point of view, the cross-period arbitrage efficiency of the selected sample data is determined. Based on the traditional arbitrage strategy and statistical arbitrage strategy, this paper mainly draws the following conclusions: (1) based on the two strategies of traditional arbitrage and statistical arbitrage, this paper studies the futures futures of 10-year Treasury bonds in the current quarter and the next consecutive contracts in the next quarter. The traditional arbitrage strategy and statistical arbitrage strategy are used to analyze the intertemporal spread of futures and to establish a non-arbitrage range centered on the equilibrium spread. On the basis of setting the corresponding arbitrage trading signals, we can effectively identify the cross-period arbitrage opportunities in the market. The main difference between the two strategies lies in the difference of the calculation methods of the spread sequence. On the basis of setting the risk-free interest rate, spot return rate and related arbitrage cost, we can effectively capture the intertemporal arbitrage opportunities in the market by using Matlab program. The empirical study on 10-year Treasury bond futures, the latest listed treasury bond futures, shows that there is a certain space for arbitrage in the market. Two strategies, traditional arbitrage and statistical arbitrage, can achieve a certain cross-period arbitrage income, and the effect of the strategy varies with the equilibrium spread calculation method, which shows that the arbitrage effect of the moving average method is better than that of the mean method. But under the same moving average equilibrium spread calculation method, from the arbitrage yield, arbitrage trading times and arbitrage success rate and so on. There is no obvious difference between traditional arbitrage strategy and statistical arbitrage strategy. The conclusion of this paper can provide a theoretical reference for investors to carry out futures arbitrage trading. At the same time, it helps investors to catch the arbitrage opportunity in the market in the early stage of listing the latest treasury bond futures, and to obtain the investment income. To a certain extent, it helps the pricing of futures market to be more reasonable and promotes the healthy and stable operation of China's futures market.
【學(xué)位授予單位】：山西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F724.5

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