SHFE铜期货与相关股票之间的套利策略研究

发布时间：2018-01-20 01:19

本文关键词： 套利策略套利收益套利风险　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：鉴于股票单边投资以及铜期货单边投资风险大,且目前铜期货套利收益减少的情况,本文以股息贴现模型、有效市场理论、证券组合理论为理论基础,设计套利策略并进行数据验证,以期推进学术界对期市和股市之间套利策略的研究,扩大投资实务中可选择的套利组合范围,提高套利收益率。本文用股票组合(江西铜业、铜陵有色、西部矿业和云南铜业)和三月后交割的上海期货交易所铜期货合约构建套利组合,并确定建仓和平仓时间以及操作方向,并运用2008年至2011年的相关数据对套利策略的效果进行验证。在运用数据进行验证时,依次考虑了对股票不同的加权配置方法、套利区间大小、套利成本对套利效果的影响,最后,得出在构建套利组合时,对其中股票组合包含的股票运用市值乘以自产率的方法进行加权配置,可为投资者带来更高的投资收益。
[Abstract]:In view of the high risk of unilateral investment of stock and copper futures, and the reduction of arbitrage income of copper futures at present, this paper takes dividend discount model, efficient market theory and portfolio theory as the theoretical basis. The arbitrage strategy is designed and verified in order to promote the academic research on arbitrage strategy between futures market and stock market, expand the range of arbitrage portfolio which can be selected in investment practice, and improve the arbitrage yield. This paper uses stock portfolio (Jiangxi copper industry, Tongling nonferrous industry, western mining industry and Yunnan copper industry) and Shanghai Futures Exchange copper futures contract delivered after March to construct arbitrage portfolio. The time and direction of establishing and closing positions are determined, and the effect of arbitrage strategy is verified by using the relevant data from 2008 to 2011. In turn, we consider the different weighted allocation methods of stock, the size of arbitrage interval, arbitrage cost on the effect of arbitrage. Finally, when we construct arbitrage portfolio. A weighted allocation of the stocks contained in the portfolio using market value's method of multiplying the rate of self-production can bring higher investment returns for investors.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F764.2;F724.5;F832.51

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