本文關鍵詞： 回轉交易 套利 套利定價 共同因素方差　出處：《東華大學》2015年碩士論文　論文類型：學位論文

【摘要】：隨著我國股票市場的市場化程度加深，股票市場的短期波動是國內(nèi)外學者關注的一個焦點。不同的交易機制帶來的短期波動程度不同。自上海證券交易所和深圳證券交易所成立以來，我國股票市場的交易機制也在不斷改進與發(fā)展中。我國股票市場回轉交易經(jīng)歷了從開始的“T+1”到“T+0”最后又回歸“T+1”。當日回轉交易（T+0）是國際證券市場上普遍采用的證券交易制度，因此，研究當日回轉交易下的我國股票市場短期波動有著重要的意義。 隨著投資者在股票市場套利的行為也越來越多，短期套利是投資者關注的熱點問題。在套利方法上，國內(nèi)外學者取得了大量的研究成果，從CAPM發(fā)展到APT是資產(chǎn)定價的進步，APT相對CAPM是一個很好的替代定價模型。多數(shù)學者對套利定價的研究視角都是因素的選擇和因素的個數(shù)，致力于主成分分析、因素分析等因素提取的技術方法上的研究，對APT影響的因素到底是什么也沒有給出明確的答案。對APT單因素的研究僅局限在單因素本身，忽略了單因素本身的方差對收益率的影響。 本研究對傳統(tǒng)的單因素套利定價模型進行了拓展，加入了共同因素的方差項，更加細化了證券資產(chǎn)收益率的生成過程。對于日內(nèi)回轉交易下的短線投資者進入市場套利的機會進行了檢驗，對短線套利者進入套利的行業(yè)提供了參考建議。 本研究的研究思路主要表現(xiàn)在以下幾點： 首先，采用文獻綜述法，對國內(nèi)外相關文獻進行綜述，并結合我國股市的現(xiàn)實交易機制的發(fā)展提出回轉交易下的短期套利機會選擇這個研究點。其次，對回轉交易短期套利分析框架進行了梳理，從回轉交易短期套利的基本原理和現(xiàn)實股票市場中的短期套利市場交易機制以及套利機會選擇的一般方法三個方面進行梳理。 然后，對滬深300指數(shù)的波動進行了描述性分析，從收盤價，收益率，振幅，漲跌幅序列四個方面進行統(tǒng)計分析，每個衡量短期波動的指標分別從均值，方差，偏度，峰度，QQ圖進行描述�？偨Y了滬深300指數(shù)的波動性特點。 最后，結合單因素套利定價理論和滬深300股票指數(shù)短期波動描述構建基于共同因素方差項的套利定價模型，選取了22個行業(yè)的22只股票，上證指數(shù)和深圳成指的五分鐘高頻數(shù)據(jù)的收益率應用拓展的APT模型進行了實證分析，得出單只證券的收益率與共同因素收益率的偏差和方差存在線性關系，由于共同因素的偏差和方差產(chǎn)生的收益率與股票的交易成本和稅收之和進行比較選擇套利的機會，在選擇套利機會的行業(yè)時，應選擇對共同因素敏感性強的行業(yè)。
[Abstract]:With the deepening of China's stock market marketization. Short-term volatility of stock market is a focus of domestic and foreign scholars. Different trading mechanisms bring about different short-term volatility. Since the establishment of the Shanghai Stock Exchange and Shenzhen Stock Exchange. The trading mechanism of China's stock market is also improving and developing. China's stock market has experienced from the beginning of "T1" to "T _ 0" and back to "T _ 1". T0) is widely used in the international securities market. Therefore, it is of great significance to study the short-term volatility of China's stock market under the day-round trading. With the increasing behavior of investors in the stock market arbitrage, short-term arbitrage is a hot issue for investors. In the arbitrage method, domestic and foreign scholars have made a lot of research results. From CAPM to APT is the progress of asset pricing. Compared with CAPM, apt is a good alternative pricing model. Most scholars' perspective on arbitrage pricing is the choice of factors and the number of factors. Devotes to the principal component analysis, the factor analysis and so on factor extraction technical method research. There is no clear answer to the factors affecting APT. The study of APT single factor is confined to single factor itself, neglecting the influence of variance of single factor on yield. In this study, the traditional single-factor arbitrage pricing model is extended to include the variance of common factors. The paper examines the opportunities for short-term investors to enter the market arbitrage and provides some suggestions for short-term arbitrage to enter the industry of arbitrage. The main research ideas of this study are as follows: First of all, using the literature review method, to review the relevant literature at home and abroad, and combined with the development of the real trading mechanism of the stock market in China, put forward the short-term arbitrage trading opportunities under the choice of this research point. The short-term arbitrage analysis framework of slew trading is combed. This paper deals with the basic principle of short-term arbitrage and the mechanism of short-term arbitrage in the real stock market and the general methods of the choice of arbitrage opportunities. Then, the Shanghai and Shenzhen 300 index volatility is described, from the closing price, yield, amplitude, fluctuation sequence of four statistical analysis, each measure of short-term volatility from the mean. The variance, skewness and kurtosis are described by QQ chart. The volatility characteristics of CSI 300 index are summarized. Finally, combined with single-factor arbitrage pricing theory and short-term volatility description of Shanghai and Shenzhen 300 stock index, the arbitrage pricing model based on common factor variance is constructed, and 22 stocks in 22 industries are selected. The APT model is used to analyze the yield of Shanghai Stock Exchange Index and Shenzhen Composite Index. It is found that there is a linear relationship between the return rate of a single stock and the deviation and variance of the common factor rate of return. Because of the deviation and variance of common factors, the return rate is compared with the transaction cost and the sum of tax revenue of the stock to choose the arbitrage opportunity, when the industry chooses the arbitrage opportunity. Industries that are sensitive to common factors should be chosen.
【學位授予單位】：東華大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.51

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