【摘要】：隨著我國資本市場的健全與發(fā)展,現(xiàn)有的金融產(chǎn)品已無法滿足市場的需求,進(jìn)而金融衍生產(chǎn)品被逐漸提上日程。2007年分級(jí)基金首次引入中國,其較強(qiáng)的杠桿效應(yīng),激發(fā)了投資者的投資熱情,同時(shí)受到了相關(guān)研究人員以及市場參與者的廣泛關(guān)注。近年來,我國分級(jí)基金市場逐漸步入高速發(fā)展期,尤其是在2014年下半年至2015年上半年的牛市時(shí)期。同時(shí)股票被動(dòng)型分級(jí)基金也持續(xù)占據(jù)著我國分級(jí)基金市場的絕對(duì)份額,區(qū)別于其它類型分級(jí)基金,股票被動(dòng)型分級(jí)基金的母基金采用指數(shù)化被動(dòng)型的投資方式,通過嚴(yán)格的程序把控和風(fēng)險(xiǎn)管理來減小跟蹤誤差,從而降低交易中存在的非系統(tǒng)性風(fēng)險(xiǎn),達(dá)到提高收益的目的�；谏鲜龇治�,為了讓投資者能夠更全面的了解股票被動(dòng)型分級(jí)基金,并積極的參與股票被動(dòng)型分級(jí)基金的投資,本文首先介紹了股票被動(dòng)型分級(jí)基金的基本概念、收益分配方式、折算機(jī)制以及配對(duì)套利機(jī)制。其次,以股票被動(dòng)型分級(jí)基金為標(biāo)的資產(chǎn)構(gòu)建雙障礙期權(quán)定價(jià)模型,并對(duì)股票被動(dòng)型分級(jí)基金的套利價(jià)值進(jìn)行實(shí)證分析。再次,結(jié)合配對(duì)套利機(jī)制的特點(diǎn)構(gòu)建股票被動(dòng)型分級(jí)基金的配對(duì)套利模型并進(jìn)行實(shí)證研究,同時(shí)在模型構(gòu)建時(shí)又充分考慮到股票被動(dòng)型分級(jí)基金在一級(jí)市場申購、贖回費(fèi)率以及二級(jí)市場進(jìn)行買賣的交易費(fèi)等成本,使得股票被動(dòng)型分級(jí)基金的配對(duì)套利更符合現(xiàn)實(shí)市場的情況。最后本文通過構(gòu)建股票被動(dòng)型分級(jí)基金的母基金凈值、A類份額以及B類份額二級(jí)市場價(jià)格的模擬模型,對(duì)其在未來一年的配對(duì)套利情況進(jìn)行預(yù)測,進(jìn)而為配對(duì)套利投資者提供指導(dǎo)。本文選取2014年4月31日前上市交易的39只股票被動(dòng)型分級(jí)基金作為研究對(duì)象,并進(jìn)行相應(yīng)的實(shí)證研究。實(shí)證結(jié)果表明:(1)基于雙障礙期權(quán)價(jià)格角度可以進(jìn)一步推出母基金與A、B類份額間存在套利價(jià)值,同時(shí)對(duì)于股票被動(dòng)型分級(jí)基金而言,其在2014年第二季度末至2015年第三季度末之間期權(quán)價(jià)格的波動(dòng)較強(qiáng),其余時(shí)間期權(quán)價(jià)格的波動(dòng)程度相對(duì)較弱;(2)股票被動(dòng)型分級(jí)基金B(yǎng)類份額的價(jià)格波動(dòng)性更強(qiáng),當(dāng)獲得更高收益時(shí)必然會(huì)面臨更大的風(fēng)險(xiǎn)。故而針對(duì)不同類型的投資者可以選擇不同份額進(jìn)行投資,從而獲得預(yù)期收益;(3)無論是從全樣本下還是極端市場下的配對(duì)套利統(tǒng)計(jì)結(jié)果來看,所有股票被動(dòng)型分級(jí)基金的預(yù)期可能套利次數(shù)均高于套利成功次數(shù),且在進(jìn)行拆分套利時(shí),其預(yù)期收益率均值高于實(shí)際收益率均值,但是在合并套利過程中,并不具有該特征。此外,絕大部分股票被動(dòng)型分級(jí)基金均表現(xiàn)出合并套利的套利成功次數(shù)高于拆分套利的套利成功次數(shù),且合并套利的成功比率要高于拆分套利的成功率,這說明中國分級(jí)基金市場的合并套利機(jī)會(huì)整體上遠(yuǎn)多于拆分套利機(jī)會(huì);(4)在拆分套利中,大部分股票被動(dòng)型分級(jí)基金存在極端市場下的預(yù)期收益率均值及實(shí)際收益率均值均高于全樣本的現(xiàn)象,而合并套利并沒有表現(xiàn)出此種特征,同時(shí)股市處于波動(dòng)期間能夠產(chǎn)生更多的套利可能;(5)本文構(gòu)建的Netlogo仿真系統(tǒng)、雙因素跳擴(kuò)散模型在一定程度上能夠確保股票被動(dòng)型分級(jí)基金母基金模擬凈值序列、A類份額及B類份額的模擬價(jià)格序列與歷史價(jià)格序列的走勢基本保持一致,且采用模擬數(shù)據(jù)進(jìn)行配對(duì)套利預(yù)測時(shí)亦能得出與全樣本下相同的結(jié)論。
[Abstract]:With the sound and development of our country's capital market, the existing financial products have not been able to meet the demand of the market, so that the financial derivatives are gradually put on the agenda. In 2007, the classification fund was introduced to China for the first time, with a strong leverage effect and stimulated the investor's enthusiasm for investment. It was also widely concerned by the relevant researchers and the market participants. In recent years, China's classification fund market has gradually entered the high-speed development period, especially during the bull market in the second half of 2014 to the first half of 2015. At the same time, the passive grading fund of the stock also continues to occupy the absolute share of the Chinese grading fund market, which is distinguished from other types of classification funds, and the parent fund of the stock passive grading fund adopts the investment mode of the indexation passive type, The control and risk management are adopted to reduce the tracking error through strict procedures, so that the non-systematic risk existing in the transaction is reduced, and the purpose of improving the income is achieved. Based on the above analysis, in order to make the investor better understand the stock passive grading fund, and actively participate in the investment of the stock passive grading fund, this paper first introduces the basic concept of the stock passive grading fund and the way of income distribution. The translation mechanism and the matching arbitrage mechanism. Secondly, the two-obstacle option pricing model is built with the equity passive grading fund as the target asset, and the arbitrage value of the stock passive grading fund is analyzed. Thirdly, by combining the characteristics of the matching arbitrage mechanism, the matching arbitrage model of the stock passive grading fund is constructed and the empirical research is carried out. At the same time, when the model is constructed, the stock passive grading fund is fully taken into account in the first-order market application, The cost of the redemption rate and the transaction cost of the two-tier market is such that the matching arbitrage of the stock passive grading fund is more in line with the situation of the real market. In the end, this paper, through the construction of the model of the net value, the class A share and the second-tier market price of the class B share, forecasts the matching arbitrage situation in the next year, and then provides guidance for the paired arbitrage investors. In this paper, a 39-stock passive grading fund, which is listed on April 31, 2014, is selected as the research object, and the corresponding empirical research is carried out. The empirical results show that (1) There is an arbitrage value between the parent fund and the A and B shares based on the two-barrier option price angle, and for the stock passive grading fund, the fluctuation of the option price between the end of the second quarter of 2014 and the end of the third quarter of 2015 is strong, and the fluctuation degree of the rest time option price is relatively weak; (2) the price volatility of the shares of the stock passive type grading fund is stronger, A greater risk is bound to be exposed when higher yields are obtained. so that a different share can be selected for investment for different types of investors to obtain the expected benefit; (3) from the result of the paired arbitrage statistics under the full sample or in the extreme market, The expected number of arbitrage times of all the passive grading funds is higher than that of the arbitrage, and when the split-arbitrage is carried out, the expected yield of the passive grading fund is higher than that of the actual yield, but in the process of combining the arbitrage, it does not have the characteristic. In addition, most of the stock passive grading funds show that the number of arbitrage successful times of the combined arbitrage is higher than the number of the arbitrage successful times of the split arbitrage, and the success ratio of the combined arbitrage is higher than the success rate of the split arbitrage. This means that the combined arbitrage opportunity of the Chinese grading fund market is far more than the split-arbitrage opportunity; (4) In the split-arbitrage, most of the stock passive-type grading fund has the expected return-rate mean value and the real yield average value under the extreme market, which is higher than that of the whole sample, and (5) the two-factor jump-diffusion model can ensure the net value sequence of the parent fund of the stock-passive grading fund to a certain extent, The simulation price sequence of category A and B share is basically consistent with the trend of historical price sequence, and the same conclusion as the full sample can also be obtained when the matched arbitrage forecast is carried out by using the simulation data.
【學(xué)位授予單位】：西安理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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