本文選題：股指期貨 + 套利　； 參考：《蘭州理工大學(xué)》2014年碩士論文

【摘要】：2010年4月16日股指期貨在中國(guó)金融期貨交易所上市宣告我國(guó)金融市場(chǎng)真正步入做空時(shí)代,套利、對(duì)沖、量化交易開始大行其道。盡管當(dāng)前我國(guó)股指期貨品種單一,但成長(zhǎng)迅速,成交量、持倉(cāng)量穩(wěn)步提升,機(jī)構(gòu)套保、套利訴求日趨強(qiáng)烈,投資者結(jié)構(gòu)逐步優(yōu)化。面對(duì)如此大環(huán)境,本文通過借鑒國(guó)外研究成果及經(jīng)驗(yàn)對(duì)我國(guó)股指期貨進(jìn)行了深入研究,并以此研究成果指導(dǎo)我們的投資決策獲到了不錯(cuò)的收益。 首先,本文引用GS模型考證了我國(guó)股指期貨市場(chǎng)的價(jià)格發(fā)現(xiàn)功能,實(shí)證結(jié)果表明過去4年內(nèi)股指期貨并未取代現(xiàn)貨市場(chǎng)成為決定滬深300指數(shù)走向的主導(dǎo)者。這說明我國(guó)股指期貨交易依舊有待進(jìn)一步成熟,而市場(chǎng)投機(jī)氛圍較濃,機(jī)構(gòu)交易者比重過低可能是重要影響因素。不過,市場(chǎng)不成熟也從某種程度上表明股指期貨套利等非交易策略仍有較為廣闊的發(fā)展空間。 其次,本文對(duì)股指期貨與現(xiàn)貨每日收益率進(jìn)行描述性統(tǒng)計(jì),結(jié)果顯示期現(xiàn)貨市場(chǎng)都具有尖峰特征,收益率也都圍繞著0上下波動(dòng),并且都不符合正態(tài)分布,然而最值數(shù)據(jù)表明期貨市場(chǎng)相對(duì)現(xiàn)貨市場(chǎng)的波動(dòng)幅度更大。不過經(jīng)過對(duì)比分析同期美國(guó)標(biāo)普500指數(shù)的期現(xiàn)貨市場(chǎng)發(fā)現(xiàn),中美股指期貨市場(chǎng)特征基本一致。 再次,本文從持有成本角度(引入資金成本、交易成本、沖擊成本、紅利等)對(duì)我國(guó)股指期貨上市以來(lái)的套利情況進(jìn)一步跟蹤研究,結(jié)果表明2010-2011年我國(guó)股指期貨市場(chǎng)無(wú)風(fēng)險(xiǎn)期現(xiàn)套利機(jī)會(huì)較多、收益率較為理想,特別是2010年全年套利收益超過12%。不過進(jìn)入2012年以后股指期現(xiàn)套利已不多見,即便出現(xiàn)套利機(jī)會(huì)也并不容易把握,我們的跟蹤數(shù)據(jù)顯示2012-2013年套利收益率已經(jīng)下滑至不足5%,這一收益率水平已經(jīng)接近市場(chǎng)無(wú)風(fēng)險(xiǎn)利率。 最后,本文借鑒投資組合理論、CAPM模型、多因子模型研究股指期貨對(duì)沖交易。研究結(jié)果表明,歐美成熟市場(chǎng)較為成功的市場(chǎng)因子在我國(guó)股指期貨對(duì)沖交易中存在水土不服的現(xiàn)象。進(jìn)而本文對(duì)大量市場(chǎng)因子進(jìn)行跟蹤研究,利用打分機(jī)制選擇股票組合,再模擬跟蹤組合的收益狀況,并且從中選擇較為合適的因子。本文對(duì)所選組合做進(jìn)一步模擬交易,結(jié)果表明對(duì)沖策略可以很好的化解市場(chǎng)系統(tǒng)性風(fēng)險(xiǎn),模擬投資收益十分穩(wěn)定、回撤較小,在僅持有半倉(cāng)的情景下年化收益率超過8%。 總的來(lái)講,本文的研究成果對(duì)我們進(jìn)一步的投資交易奠定了堅(jiān)實(shí)的基礎(chǔ),也為我們發(fā)行絕對(duì)收益產(chǎn)品、滿足投資者低風(fēng)險(xiǎn)的訴求提供了有效的借鑒意義。不過,研究過程中依舊碰到不少問題,比如股票組合下單的即時(shí)性問題、股票組合的調(diào)倉(cāng)頻率以及如何把握股指期貨貼水等都是值得進(jìn)一步深究。
[Abstract]:The listing of stock index futures in China's financial futures exchange on April 16, 2010 declares that China's financial market has really stepped into an era of shorting, arbitrage, hedging, and quantitative trading. Although the stock index futures in our country have a single variety at present, they are growing rapidly, the volume of trading volume and positions are rising steadily, the demands of institutional arbitrage and arbitrage are becoming more and more intense, and the structure of investors is gradually optimized. In the face of such a great environment, this paper makes an in-depth study of stock index futures in our country by referring to foreign research results and experiences, and makes a good profit from the research results to guide our investment decisions. First of all, this paper uses GS model to verify the price discovery function of stock index futures market in China. The empirical results show that stock index futures have not replaced the spot market as the dominant determinants of the Shanghai and Shenzhen 300 index in the past four years. This indicates that China's stock index futures trading still needs to be further mature, and the market speculative atmosphere is strong, and the low proportion of institutional traders may be an important influencing factor. However, the immature market also shows that non-trading strategies such as arbitrage of stock index futures still have broad scope for development. Secondly, this paper carries on the descriptive statistics to the stock index futures and the spot daily rate of return, the result shows that the spot market in the period has the peak characteristic, the return rate also fluctuates around 0, and does not accord with the normal distribution. However, the best data show that the futures market is more volatile than the spot market. However, a comparative analysis of the spot market of the S & P 500 over the same period found that the characteristics of the Chinese and U.S. stock index futures markets were basically the same. Thirdly, from the point of view of holding cost (introducing capital cost, transaction cost, impact cost, dividend and so on), this paper further tracks and studies the arbitrage situation of stock index futures in China since the listing of stock index futures. The results show that there are more opportunities for risk-free arbitrage in China's stock index futures market in 2010-2011, and the yield is more ideal, especially for the whole year of 2010, when the arbitrage yield exceeds 12. But now arbitrage in the stock index period after 2012 is not common, and even if arbitrage opportunities appear, it is not easy to grasp. Our tracking data show that the 2012-2013 arbitrage rate has fallen to less than 5 percent, which is close to the market risk free rate. Finally, this paper studies hedge trading of stock index futures based on CAPM model and multi-factor model. The results show that the market factors which are more successful in the mature markets of Europe and America are difficult to accept in the hedging of stock index futures in China. Then, this paper studies a large number of market factors, using the scoring mechanism to select the stock portfolio, and then simulate the earnings of the tracking portfolio, and select a more appropriate factor. The result shows that the hedge strategy can resolve the market systemic risk very well, the simulated investment return is very stable, the retreat is small, and the annual return is more than 8% under the condition of holding only half position. In general, the research results of this paper lay a solid foundation for our further investment transactions, but also provide an effective reference for us to issue absolute income products and meet the demand of investors' low risk. However, there are still many problems in the research process, such as the instantaneity of stock portfolio issuing orders, the frequency of stock portfolio adjustment and how to grasp the discount of stock index futures are all worthy of further study.
【學(xué)位授予單位】：蘭州理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F832.39

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