本文關(guān)鍵詞： 回轉(zhuǎn)交易 套利 套利定價 共同因素方差　出處：《東華大學(xué)》2015年碩士論文　論文類型：學(xué)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(xué)者關(guān)注的一個焦點。不同的交易機(jī)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(jī)制也在不斷改進(jìn)與發(fā)展中。我國股票市場回轉(zhuǎn)交易經(jīng)歷了從開始的“T+1”到“T+0”最后又回歸“T+1”。當(dāng)日回轉(zhuǎn)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(dāng)日回轉(zhuǎn)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(guān)注的熱點問題。在套利方法上，國內(nèi)外學(xué)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(jìn)步，APT相對CAPM是一個很好的替代定價模型。多數(shù)學(xué)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(shù)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(jìn)行了拓展，加入了共同因素的方差項，更加細(xì)化了證券資產(chǎn)收益率的生成過程。對于日內(nèi)回轉(zhuǎn)交易下的短線投資者進(jìn)入市場套利的機(jī)會進(jìn)行了檢驗，對短線套利者進(jìn)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(xiàn)綜述法，對國內(nèi)外相關(guān)文獻(xiàn)進(jìn)行綜述，并結(jié)合我國股市的現(xiàn)實交易機(jī)制的發(fā)展提出回轉(zhuǎn)交易下的短期套利機(jī)會選擇這個研究點。其次，對回轉(zhuǎn)交易短期套利分析框架進(jìn)行了梳理，從回轉(zhuǎn)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(jī)制以及套利機(jī)會選擇的一般方法三個方面進(jìn)行梳理。 然后，對滬深300指數(shù)的波動進(jìn)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(jìn)行統(tǒng)計分析，每個衡量短期波動的指標(biāo)分別從均值，方差，偏度，峰度，QQ圖進(jìn)行描述�？偨Y(jié)了滬深300指數(shù)的波動性特點。 最后，結(jié)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(gòu)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(yīng)用拓展的APT模型進(jìn)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(guān)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(jìn)行比較選擇套利的機(jī)會，在選擇套利機(jī)會的行業(yè)時，應(yīng)選擇對共同因素敏感性強(qiáng)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(xué)位授予單位】：東華大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2015
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 高能斌;;關(guān)于股指期貨定價及套利區(qū)間的研究[J];當(dāng)代經(jīng)濟(jì);2008年01期

2 陳婧;徐宏峰;;我國股票收益影響因素的實證研究[J];經(jīng)濟(jì)問題;2008年02期

3 尹秀明;;基于大豆期貨合約的跨期套利模型分析[J];經(jīng)濟(jì)研究導(dǎo)刊;2008年14期

4 陳保華;交易機(jī)制對股價行為的影響——對中國股票市場的實證檢驗[J];經(jīng)濟(jì)研究;2001年05期

5 曾長虹;證券交易機(jī)制影響股價嗎?——對中國股票市場的再檢驗[J];經(jīng)濟(jì)研究;2003年11期

6 卿松;;資本市場中短期套利模型的應(yīng)用分析[J];集美大學(xué)學(xué)報(哲學(xué)社會科學(xué)版);2005年04期

7 劉霖,秦宛順;中國股票市場套利定價模型研究[J];金融研究;2004年06期

8 戴曉鳳;楊軍;;交易機(jī)制與股票市場波動性關(guān)系的實證檢驗——基于GARCH模型的分析[J];江西金融職工大學(xué)學(xué)報;2009年01期

9 羅江華;丁攀;;油脂類期貨價差統(tǒng)計與跨品種套利研究[J];糧食科技與經(jīng)濟(jì);2010年05期

10 劉陽;交易機(jī)制對我國證券市場波動性的影響分析[J];南開經(jīng)濟(jì)研究;2003年04期

，

本文編號：1475453