融资融券模式下市场中性策略的实证研究

发布时间：2018-01-01 18:01

本文关键词：融资融券模式下市场中性策略的实证研究　出处：《首都经济贸易大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着中国融资融券业务的开展，证券市场机制越来越完善，为对冲基金的萌芽提供了条件。本文针对融资融券模式下，对冲基金较常使用的市场中性策略进行实证研究。第一部分对本文的研究背景、研究意义以及国内外研究情况进行了阐述，奠定了本文的研究基础。第二部分介绍了融资融券交易规则和相关理论基础。第三部分在资本资产定价模型和协整理论的基础上，使用数量化的研究方法，分别对配对交易策略和Alpha策略两种市场中性策略进行实证分析。通过比较得出配对交易策略的协整模型中最合适选取的变量.验证了Alpha策略的实际效果，并从中得到了一定的启发。计算收益率时，考虑了各方面的费用。实证研究发现，，这部分费用抵消了相当大部分买卖价差获得的收益，是不容忽视的影响策略收益的因素。第四部分阐述了对冲基金的历史及其与市场中性策略的关系，并且对中国对冲基金的发展现状进行了分析，对其发展前景进行了展望。第五部分总结了本文的研究内容和结论，指出了一些不足，为今后更深入的研究提出了方向建议。
[Abstract]:With the development of margin and short margin business in China, the mechanism of securities market is becoming more and more perfect, which provides the conditions for hedge funds to sprout. The market neutral strategies used by hedge funds are studied empirically. The first part of the research background, research significance and domestic and foreign research situation are described. The second part introduces the rules of margin trading and related theoretical basis. The third part uses quantitative research methods based on capital asset pricing model and co-integration theory. Two market neutral strategies, pairing trading strategy and Alpha strategy, are empirically analyzed, and the most suitable variables in the cointegration model of pairing trading strategy are obtained by comparison. Actual effect. And get some inspiration. When calculating the rate of return, we consider all aspects of the cost. The empirical study found that this part of the cost offset a large part of the profit from the spread of buying and selling. Part 4th expounds the history of hedge funds and the relationship between hedge funds and market-neutral strategies, and analyzes the development status of hedge funds in China. In the 5th part, the contents and conclusions of this paper are summarized, some shortcomings are pointed out, and some suggestions for further study are put forward.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

【引证文献】