股指期货对冲及单边交易的两个策略研究

发布时间：2018-03-06 07:03

本文选题：股票价格指数　切入点：股指期货　出处：《山东大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着经济全球化的发展,中国的金融市场也在不断成熟中,面对金融产品发展多元化的挑战,金融创新也显得日益重要。股票价格指数是衡量一国经济发展的重要指标,以此为标的的金融衍生产品,作为金融产品创新中的一个重要分支,在维护金融市场稳定,深化投资者对金融市场的理解中起到了重要作用。在衡量一个国家金融创新领域的发展水平中,也是一个重要的指标。由于我国金融行业起步晚,金融创新性产品还在不断地发展探索中。2010年,以沪深300为标的的股指期货进入了中国投资者的视野。与传统股票交易不同,股指期货允许做空交易,以及采用T+0机制。这种改变对传统的投资理念及投资策略开发是一个挑战。与国外先进投资银行的衍生品投资策略相比,我国的股指期货投资策略在理论研究,模型开发以及应用实践中尚处于初级阶段。国内很多文献都是关于期货期权的定价及资产组合风险研究,很少有与实际生产相关的具体案例介绍。本文主要采用了实证分析的研究方法,以中国股票市场数据为研究对象,介绍了股指期货在实际生产中常用到的投资策略,以及不同策略的研究方法,建模过程以及具体实例。旨在让读者对股指期货的投资策略的研究有个更清晰、深刻地认识。进而结合我国金融创新发展中的实际情况,在对相关金融产品的研究过程中起到借鉴作用。
[Abstract]:With the development of economic globalization, China's financial market is also maturing. In the face of the challenge of diversified development of financial products, financial innovation is becoming increasingly important. The stock price index is an important index to measure the economic development of a country. As an important branch of the innovation of financial products, financial derivatives, which are taken as the target, are maintaining the stability of the financial market. Deepening investors' understanding of financial markets has played an important role. It is also an important indicator in measuring the level of development in the field of financial innovation in a country. In 2010, stock index futures with Shanghai and Shenzhen 300 as the target entered the field of vision of Chinese investors. Unlike traditional stock trading, stock index futures allow short trading. This change is a challenge to the traditional investment concept and investment strategy development. Compared with the derivative investment strategy of foreign advanced investment banks, the investment strategy of stock index futures in our country is studied in theory. The model development and application practice is still in the initial stage. Many domestic literatures are concerned with the pricing of futures options and portfolio risk research. There are few specific cases related to the actual production. This paper mainly adopts the empirical analysis method, taking the Chinese stock market data as the research object, introduces the investment strategy often used in the actual production of stock index futures. And the research methods of different strategies, modeling process and concrete examples. The purpose of this paper is to give readers a clearer and deeper understanding of the investment strategy of stock index futures, and then to combine with the actual situation in the development of financial innovation in China. In the research process of related financial products play a reference role.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【共引文献】