本文關(guān)鍵詞： 滬深300股指期貨 交易成本 沖擊成本 無套利區(qū)間　出處：《青島大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著期貨市場的蓬勃發(fā)展,投資者在進(jìn)行無風(fēng)險套利時越來越關(guān)注期貨市場中的交易成本問題。投資者如何有效的減少交易成本,降低交易風(fēng)險至關(guān)重要。本文主要研究隱性交易成本方面,重點考察中國金融衍生產(chǎn)品市場隱性交易成本中的沖擊成本,以衡量期貨市場的流動性。機(jī)構(gòu)投資者在期貨市場進(jìn)行大額交易時,要在考慮沖擊成本的情況下制定大額指令執(zhí)行策略,從而減少交易成本,提高收益。研究的主要內(nèi)容如下： (1)提出中國股指期貨市場的沖擊成本的定義公式,并用中國滬深300股指期貨市場高頻數(shù)據(jù)進(jìn)行實證研究。研究結(jié)果表明,滬深300股指期貨市場的沖擊成本顯著存在,但要比股票市場沖擊成本小,并且買賣之間不存在不對稱性。 (2)構(gòu)建基于中國金融衍生產(chǎn)品市場的沖擊成本影響因素線性回歸模型,并對滬深300股指期貨交易的高頻數(shù)據(jù)加以實證。研究結(jié)果表明,指令規(guī)模對沖擊成本的影響較大。買方指令下,指令規(guī)模和日價格變動與各沖擊成本成正比,日結(jié)算價和日持倉量成反比,賣方指令則與買方指令相反。 (3)構(gòu)建期貨無套利定價區(qū)間模型,在考慮存在沖擊成本和忽略沖擊成本兩種情況下,利用滬深300股指期貨市場數(shù)據(jù)進(jìn)行實證分析。分析結(jié)果表明,在考慮了沖擊成本后,期貨市場的無套利區(qū)間放寬,并且套利機(jī)會減少,套利深度降低。
[Abstract]:With the rapid development of futures market, investors are paying more and more attention to the transaction cost in futures market when carrying out risk-free arbitrage. It is very important to reduce the transaction risk. This paper mainly studies the implicit transaction cost, focusing on the impact cost of the implicit transaction cost in the Chinese financial derivatives market. In order to measure the liquidity of the futures market, the institutional investors should formulate the execution strategy of the large order under the consideration of the impact cost, so as to reduce the transaction cost and increase the income. The main contents of the research are as follows:. 1) put forward the definition formula of the impact cost of China stock index futures market, and use the high-frequency data of China Shanghai and Shenzhen 300 stock index futures market to carry on the empirical research. The research result shows that the impact cost of Shanghai and Shenzhen 300 stock index futures market exists obviously. But it is less expensive than stock market shocks, and there is no asymmetry between buying and selling. (2) to build a linear regression model of impact cost influencing factors based on Chinese financial derivatives market, and to demonstrate the high frequency data of Shanghai and Shenzhen 300 stock index futures trading. Under the buyer's order, the change of order size and daily price is directly proportional to the impact cost, the daily settlement price and daily position are inversely proportional, and the seller's order is opposite to the buyer's order. In this paper, we construct a futures no-arbitrage pricing range model and make an empirical analysis by using the data of Shanghai and Shenzhen 300 stock index futures market considering the impact cost and neglecting the impact cost. The results show that, after considering the impact cost, The futures market's no-arbitrage range is relaxed, and arbitrage opportunities are reduced, and arbitrage depth is reduced.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前2條

1 賴娟娟;論壇異常發(fā)帖量對滬深300股指期貨沖擊成本的影響研究[D];西南交通大學(xué);2016年

2 廖堯;中國分級式基金的套利策略的實證研究[D];廣西大學(xué);2016年

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本文編號：1510141