本文選題：股指期貨 + 期現(xiàn)套利��； 參考：《對外經(jīng)濟(jì)貿(mào)易大學(xué)》2016年碩士論文

【摘要】：本文對股指期貨涉及的各類套利方式在國內(nèi)市場的表現(xiàn)進(jìn)行了實(shí)證研究。在介紹了三種股指期貨及其對應(yīng)股指指數(shù)的基本性質(zhì)后,闡述了各種套利方式的理論基礎(chǔ),并利用WIND金融終端API可提取的國內(nèi)三種股指指數(shù)數(shù)據(jù)和對應(yīng)期貨合約的行情數(shù)據(jù)和Matlab軟件進(jìn)行了相關(guān)研究,包括Alpha套利、跨期套利、跨品種套利以及跨市場套利四種套利方式的實(shí)證檢驗(yàn),并分析了套利中所涉及的各種變量及相關(guān)參數(shù)對模型的影響,包括手續(xù)費(fèi)、沖擊成本設(shè)置、保證金比例等。我國有四大期貨交易所:中國金融期貨交易所(CFFEX中金所)、鄭州商品交易所(CZCE鄭商所)、大連商品交易所(DCE大商所)和上海期貨交易所(SHFE上期所)。國內(nèi)全部的金融期貨均在中國金融期貨交易所(中金所)交易,其中包括股指期貨(指數(shù)期貨)、國債期貨、外匯期貨(仿真,未正式上市)等。根據(jù)標(biāo)的股指指數(shù)的不同,國內(nèi)現(xiàn)可交易的股指期貨品種有三種:其中滬深300股指期貨早在2010年4月16日就已上市,而中證500指數(shù)期貨和上證50指數(shù)期貨于2015年4月16日才剛剛上市。在實(shí)證研究中,期現(xiàn)套利、跨期套利、跨市場套利的實(shí)證分析結(jié)果為能提供充分說服力,均選取上市時(shí)間較久的滬深300期指作為研究對象,而跨品種套利中因兩種新期指上市時(shí)間較短,故采用三者對應(yīng)的股指指數(shù)數(shù)據(jù)作為樣本內(nèi)數(shù)據(jù),2015年4月16日以后三者的期貨主力拼接數(shù)據(jù)作為樣本外數(shù)據(jù),分別對樣本內(nèi)和樣本外數(shù)據(jù)構(gòu)建套利策略來進(jìn)行模擬交易,進(jìn)而檢驗(yàn)其可行性。實(shí)證結(jié)果表明:第一,各種套利方式的機(jī)會雖然較少,但可產(chǎn)生穩(wěn)定收益,特別對跨期套利而言均值回復(fù)效應(yīng)顯著;第二,實(shí)證結(jié)果表明A股市場和許多新興國家市場一樣,具有風(fēng)格動量效應(yīng),對于股指期貨跨品種套利產(chǎn)生了一定影響;最后,股災(zāi)后受政策限制導(dǎo)致股指期貨交投不活躍長期持續(xù)貼水的狀態(tài)對套利產(chǎn)生了不利的影響。
[Abstract]:This paper makes an empirical study on the performance of all kinds of arbitrage methods involved in stock index futures in the domestic market. After introducing the basic properties of three stock index futures and their corresponding index indices, the theoretical basis of various arbitrage methods is expounded. And using win financial terminal API to extract three kinds of domestic index data and corresponding futures contract market data and Matlab software to carry on the related research, including Alpha arbitrage, intertemporal arbitrage, The empirical test of four arbitrage modes of cross-variety arbitrage and cross-market arbitrage is carried out, and the effects of various variables involved in arbitrage and related parameters on the model are analyzed, including handling fee, impact cost setting, margin ratio and so on. There are four major futures exchanges in China: China Financial Futures Exchange (CFFEX China Gold Exchange), Zhengzhou Commodity Exchange (CZCE Zheng Shang Institute), Dalian Commodity Exchange (DCE) and Shanghai Futures Exchange (Shanghai Futures Exchange). All domestic financial futures are traded on the China Financial Futures Exchange (CIFE), including stock index futures (index futures), treasury bonds futures, foreign exchange futures (simulation, not officially listed) and so on. According to the difference of the underlying stock index, there are three kinds of stock index futures that can be traded in China: the Shanghai and Shenzhen 300 stock index futures have been listed as early as April 16, 2010. China 500 index futures and Shanghai 50 index futures on April 16, 2015 just listed. In the empirical research, the empirical analysis results of current arbitrage, intertemporal arbitrage and cross-market arbitrage can provide sufficient persuasion. In cross-variety arbitrage, because the two new futures indexes have a short time to market, the index data corresponding to the three indexes are used as data within the sample, and the main splicing data of the three futures after April 16, 2015, are used as the data outside the sample. In order to test its feasibility, we construct arbitrage strategy for intra-sample and out-of-sample data to simulate the transaction. The empirical results show that: first, although the opportunities of various arbitrage methods are relatively small, they can produce stable returns, especially for cross-arbitrage, the average recovery effect is significant; second, the empirical results show that A share market is the same as many emerging markets. Has the style momentum effect, has the certain influence to the stock index futures cross variety arbitrage; finally, after the stock disaster by the policy restriction causes the stock index futures trading inactive long-term sustained discount condition to the arbitrage had the negative influence.
【學(xué)位授予單位】：對外經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F224;F724.5

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本文編號：2050455