股指期货期现套利中的风险研究

发布时间：2018-04-12 08:54

本文选题：股指期货 + 套期保值　；参考：《西南财经大学》2013年硕士论文

【摘要】：2010年4月16日,股指期货在中国金融期货交易所正式推出,成为我国期货市场与金融市场发展史上的又一件里程碑事件。在短短两年多时间里,股指期货已经发展成为与商品期货并驾齐驱的期货产品,展现出金融衍生品强大的生命力与发展潜力。股指期货是以股票价格指数作为标的物的金融期货,按照交易目的可分为套期保值、套利和投机三种类型。机构投资者为了现货资产保值,规避系统性风险,普遍会进行股指期货的套期保值交易,所以目前套期保值交易占据了市场的主导地位；投机交易则采取单向做多或做空,可能实现的收益率最大,但同时可能承担的风险也最大；而套利交易则在基差发生较大偏离时在期货与现货部位同时进行相反方向的交易,并在基差收敛时再同时在期货与现货部位反向交易结束套利,风险可控,且收益稳定,从而逐步受到市场重视,成为越来越多投资者获取稳定收益的利器。理论上,期货指数与现货指数应该维持一致的变动趋势。但在市场现实环境中,期货合约和现货指数时常会发生偏离,当这种偏离达到一定程度,即扣除各项成本后收益为正时,就产生了套利机会。股指期货套利大体分为期现套利、跨期套利、跨品套利和跨市套利。期现套利是目前国内利用股指期货进行套利的主要手段,理论与实践都比较成熟,所以本论文仅限于研究期现套利。期现套利是指当期货市场与现货市场价差发生不合理变化时,交易者在两个市场进行反向交易,利用价差变化获得无风险利润的行为。在金融学中,期现套利是一种无风险套利策略,这里的无风险是指期现套利的本金和建仓时锁定的套利收益不受市场绝对价格波动的影响。沪深300股指期货的交割制度决定了期货价格和现货指数最终将趋于一致,因而套利建仓时锁定的价差收益能够实现,这是期现无风险套利的基本原理和制度依据。期现套利需要投资者在买卖股指期货合约的同时构建现货头寸,虽然风险较小,但并不意味着没有风险。总体来说,期现套利主要面临市场冲击成本带来的风险,跟踪误差及股利发放引发的风险,流动性风险和保证金风险。本论文通过对涉及这些常见风险的案例进行剖析,阐释各种风险对期现套利的影响,从而达到揭示风险和控制风险的目标,并提出相应的防范措施。
[Abstract]:On April 16, 2010, stock index futures were officially launched in China Financial Futures Exchange, which became another milestone in the history of futures market and financial market in China.In a short period of more than two years, stock index futures have developed into futures products that keep pace with commodity futures, showing the strong vitality and development potential of financial derivatives.Stock index futures are financial futures with stock price index as the subject matter. According to the purpose of trading, they can be divided into three types: hedging, arbitrage and speculation.Institutional investors generally hedge stock index futures in order to preserve their physical assets and avoid systemic risks. Therefore, at present, hedging transactions occupy a dominant position in the market; speculative transactions, on the other hand, are one-way short or short.The possible yield is the highest, but the risk is also the greatest; and the arbitrage trades in the opposite direction of the futures and spot positions when the basis deviates significantly.At the same time, when the basis converges, the arbitrage ends in the reverse trading of futures and spot position at the same time, the risk is controlled and the income is stable, so the market pays more and more attention to it and becomes a sharp weapon for more and more investors to obtain stable returns.In theory, futures and spot indices should maintain a consistent trend.However, in the real market environment, futures contracts and spot indices often deviate. When the deviation reaches a certain level, that is, after deducting the costs, the profit is positive, and then the arbitrage opportunities are generated.Stock index futures arbitrage is generally divided into current arbitrage, inter-term arbitrage, cross-product arbitrage and cross-market arbitrage.Full-time arbitrage is the main means of arbitrage using stock index futures in China at present. The theory and practice are mature, so this paper is limited to the current arbitrage in the research period.Futures arbitrage refers to the behavior of traders trading in opposite direction in two markets when the price difference between futures market and spot market changes unreasonably and making use of the variation of price difference to obtain risk-free profits.In finance, current arbitrage is a risk-free arbitrage strategy, in which the principal amount of the current arbitrage and the arbitrage income locked in when the position is built are not affected by the market absolute price fluctuations.The delivery system of Shanghai and Shenzhen 300 stock index futures determines that the futures price and spot index will eventually converge, so the return of the price difference locked in the arbitrage position can be realized, which is the basic principle and institutional basis of risk-free arbitrage in the future.Futures arbitrage requires investors to build spot positions while buying and selling stock index futures, which, while less risky, does not mean there is no risk.In general, current arbitrage mainly faces the risk of market impact cost, tracking error and the risk caused by dividend payment, liquidity risk and margin risk.Through the analysis of the cases involving these common risks, this paper explains the influence of various risks on arbitrage in the future, so as to achieve the goal of revealing the risks and controlling the risks, and puts forward the corresponding preventive measures.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5

【共引文献】