沪深300股指期货跨期套利的相关研究

发布时间：2018-05-08 07:41

本文选题：股指期货 + 跨期套利　；参考：《上海交通大学》2012年硕士论文

【摘要】：本文分析了沪深300股指期货跨期套利的原理及方法，利用2010年6月至2012年1月期间，沪深300股指期货当月合约及下月合约的日内交易数据，以15分钟为一个交易时段，采用跨期套利的方法进行了实证检验。实证检验采用移动平均法，取前20个交易时段的收盘价均值为合理价差，开仓价位为偏离合理价差2个标准差，平仓价位为回归到距离合理价差1个标准差。在手续费为0.007%的情况下，，获得了28.22%的年化收益率，保守估计年收益率可达20%。平均月收益率为2.09%，20个月仅有1个月出现了没有收益的情况，几乎无亏损。研究表明，沪深300股指期货跨期套利仅仅适合于资金量在几千万元规模的中小型投资者。若进入市场的资金超过10亿元人民币，必然会显著降低套利交易的收益。
[Abstract]:This paper analyzes the principle and method of the intertemporal arbitrage of Shanghai and Shenzhen 300 stock index futures, using the intraday trading data of the current month contract and next month contract of Shanghai and Shenzhen 300 stock index futures from June 2010 to January 2012, taking 15 minutes as a trading period. The method of intertemporal arbitrage is used to carry out an empirical test. The empirical test adopts moving average method. The average closing price of the first 20 trading periods is reasonable price difference, opening price is 2 standard deviation from reasonable price difference, and closing position price is regression to reasonable price difference of 1 standard deviation. In the case of a service fee of 0. 007%, an annualized yield of 28. 22% was obtained, compared with a conservative estimate of 20. 5% per annum. The average monthly yield is 2.09, 20 months only a month there is no income, almost no loss. The research shows that the Shanghai and Shenzhen 300 stock index futures interterm arbitrage is only suitable for small and medium-sized investors with tens of millions of yuan of capital. If entering the market more than 1 billion yuan of capital, will certainly significantly reduce the earnings of arbitrage transactions.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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