【摘要】：在復(fù)雜多變的證券市場中,巨大的風(fēng)險蘊含著巨大的收益,投資者努力追求穩(wěn)定的復(fù)合收益是證券市場不變的規(guī)律。ETF基金在我國不斷的推出,做空機制在證券市場的實行,使得我國的證券市場出現(xiàn)更多樣化的交易機制,市場的變化更加復(fù)雜多樣,套利交易的可行使得ETF市場在我國迅速的發(fā)展。最近幾年來,ETF市場在我國資本市場的的成長速度的十分快速,ETF市場在其數(shù)量方面有了大幅增長而且其種類的有大幅增加。ETF憑借其特殊的優(yōu)勢在套利交易方面具有廣大的市場。最初,投資者一般通過進行期現(xiàn)套利交易活動進行風(fēng)險的控制,在ETF融資融券機制出現(xiàn)之后,ETF投資市場迅速吸引了大量投資者。伴隨著ETF融資融券制度的不斷發(fā)展,投資者在金融衍生品市場上進行套利交易的手段越來越多。本文第一部分首先對ETF進行概述,對ETF的定義及發(fā)展歷程有一個全面認識,進而了解ETF基金的功能、特點及其衍生品。第二部分進行案例介紹,主要以上證50ETF期現(xiàn)套利策略為基準舉出案例。并著重對通過對上證50ETF的概念、功能特點及發(fā)展歷程進行了全面介紹。并對ETF的操作流程進行了描述,將ETF的套利策略分為風(fēng)險的套利策略和無風(fēng)險套利策略,并對其交易機制進行了描述。第三部分主要對案例進行了分析,通過比較分析的方法對無風(fēng)險套利策略和存在風(fēng)險的套利策略進行比較分析,并注重對期現(xiàn)套利策略進行了分析,并進行了模擬交易,通過對比和定量分析得出自己的結(jié)論。
[Abstract]:In the complex and changeable securities market, the huge risk contains huge income, the investors strive to pursue the stable compound income is the constant rule of the securities market .ETF fund is launched continuously in our country, and the short selling mechanism is implemented in the securities market. It makes the securities market of our country appear more diversified trading mechanism, the change of market is more complex and diverse, and the feasibility of arbitrage trade makes the ETF market develop rapidly in our country. In recent years, the growth rate of ETF market in China's capital market is very fast. The ETF market has greatly increased in number and its kinds have increased greatly. ETF has a broad market in arbitrage trading because of its special advantages. At first, investors usually carry on the risk control by carrying on the current arbitrage trading activity. After the emergence of the ETF margin financing mechanism, the ETFs investment market attracts a large number of investors rapidly. With the development of ETF margin financing system, there are more and more ways for investors to carry out arbitrage trading in financial derivatives market. The first part of this paper gives an overview of ETF, gives a comprehensive understanding of the definition and development of ETF, and then understands the functions, characteristics and derivatives of ETF funds. The second part introduces the case, mainly based on the current arbitrage strategy of 50ETF period of Shanghai Stock Exchange. The concept, function and development course of 50ETF are introduced in detail. The operation process of ETF is described. The arbitrage strategy of ETF is divided into risk-arbitrage strategy and risk-free arbitrage strategy, and its trading mechanism is described. The third part mainly analyzes the case, compares the risk-free arbitrage strategy and the risk-free arbitrage strategy through the comparative analysis method, and focuses on the analysis of the current arbitrage strategy, and carries on the simulation transaction. Through comparison and quantitative analysis, we draw our own conclusion.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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