本文選題：股指期貨　切入點(diǎn)：套利　出處：《浙江大學(xué)》2017年碩士論文

【摘要】：2010年4月股指期貨的推出,對(duì)我國資本市場(chǎng)的發(fā)展意義重大,豐富了投資者的投資工具,同時(shí)可以幫助投資者規(guī)避投資風(fēng)險(xiǎn),降低股市的波動(dòng)率。此前推出的融資融券業(yè)務(wù)也可以更好的幫助股指期貨實(shí)現(xiàn)上述功能。股指期貨期現(xiàn)套利對(duì)股指期貨市場(chǎng)非常重要。股指期貨期現(xiàn)套利可以調(diào)整期貨和現(xiàn)貨價(jià)格的偏差,提高合理性,另外可以提高股指期貨市場(chǎng)流動(dòng)性。股指期貨期現(xiàn)套利研究的關(guān)鍵是無套利區(qū)間的計(jì)算,跟蹤誤差較小現(xiàn)貨組合的選擇兩個(gè)方面的內(nèi)容,因此本文重點(diǎn)分析以上兩個(gè)部分,最后結(jié)合中國實(shí)際情況進(jìn)行無套利機(jī)會(huì)的測(cè)算。本文第一個(gè)重點(diǎn)內(nèi)容主要是無套利區(qū)間的推導(dǎo)以及三種現(xiàn)貨組合的構(gòu)建。無套利區(qū)間方面,主要的考慮因素包括交易成本,沖擊成本,跟蹤誤差成本以及中國股指期貨保證金水平,融資融券利率等,推導(dǎo)出相應(yīng)的區(qū)間定價(jià)模型�，F(xiàn)貨組合構(gòu)建方面,本文采用三種方式來構(gòu)造現(xiàn)貨組合,其一是利用優(yōu)化復(fù)制化法來構(gòu)建股票組合,其二根據(jù)跟蹤誤差最小化構(gòu)建ETFs組合,最后利用期權(quán)平價(jià)原理構(gòu)建期權(quán)組合來構(gòu)造現(xiàn)貨。本文第二個(gè)重點(diǎn)內(nèi)容主要是根據(jù)近幾年股指期貨和現(xiàn)貨的相關(guān)數(shù)據(jù)進(jìn)行股指期貨期現(xiàn)套利的實(shí)證分析。自2015年股災(zāi)過后,股指期貨市場(chǎng)貼水現(xiàn)象頻現(xiàn),融資融券一票難求,因此,本文主要根據(jù)近三年股指期貨和相應(yīng)現(xiàn)貨組合的數(shù)據(jù),來研究股指期貨期現(xiàn)套利。首先,假設(shè)融資融券交易可以順利進(jìn)行,將ETFs組合作為現(xiàn)貨組合來進(jìn)行套利的實(shí)證分析。其次,針對(duì)手中擁有大量現(xiàn)貨組合的機(jī)構(gòu),本文根據(jù)跟蹤誤差最小化篩選出能夠較好跟蹤滬深300指數(shù)的十只權(quán)重股,現(xiàn)貨商可以適當(dāng)增持相應(yīng)的權(quán)重股,在恰當(dāng)時(shí)機(jī)進(jìn)行反向套利,賺取豐厚收益。最后,針對(duì)融資融券困難現(xiàn)狀,在當(dāng)下市場(chǎng)上,可以使用期權(quán)組合構(gòu)建現(xiàn)貨空頭,實(shí)現(xiàn)反向期現(xiàn)套利。
[Abstract]:The launch of stock index futures in April 2010 is of great significance to the development of China's capital market and enriches the investment tools of investors and can help investors avoid investment risks and reduce the volatility of the stock market.Prior to the introduction of short-margin financing business can better help stock index futures to achieve the above functions.The current arbitrage of stock index futures is very important to the stock index futures market.The current arbitrage of stock index futures can adjust the deviation between futures and spot prices and improve the rationality. In addition, it can improve the liquidity of stock index futures market.The key of stock index futures current arbitrage research is the calculation of no-arbitrage interval and the selection of spot combination with small tracking error. So this paper focuses on the above two parts.Finally, according to the actual situation in China, we calculate the opportunity of no arbitrage.The first focus of this paper is the derivation of no-arbitrage range and the construction of three spot combinations.In the aspect of no-arbitrage range, the main factors are transaction cost, impact cost, tracking error cost, margin level of Chinese stock index futures, margin rate of margin margin, etc., and the corresponding interval pricing model is derived.In the aspect of spot portfolio construction, this paper uses three ways to construct spot portfolio, one is to construct stock portfolio by optimizing replicative method, the other is to construct ETFs portfolio according to the minimization of tracking error.Finally, the option combination is constructed by using option parity principle to construct spot.The second focus of this paper is based on the stock index futures and spot data in recent years to carry out the empirical analysis of arbitrage in stock index futures period.Since the stock disaster in 2015, the phenomenon of discount in stock index futures market is frequent, and it is difficult to obtain a single vote for margin financing. Therefore, this paper mainly studies the arbitrage of stock index futures period based on the data of stock index futures and corresponding spot combinations in the recent three years.First, assuming that margin trading can proceed smoothly, ETFs portfolio is used as spot portfolio to carry out empirical analysis of arbitrage.Secondly, in view of the institutions with a large number of spot portfolios in their hands, according to the tracking error minimization, this paper screened out 10 weight stocks that can better track the CSI 300 index, and the spot traders can appropriately increase their holdings of the corresponding heavyweights.Carry on the reverse arbitrage at the right time to make a good profit.Finally, aiming at the difficult situation of margin financing, in the current market, we can use option combination to construct spot short to realize reverse arbitrage.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F724.5

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本文編號(hào)：1719164