沪深300股指期现套利GARCH模型应用研究

发布时间：2018-01-08 17:05

本文关键词：沪深300股指期现套利GARCH模型应用研究　出处：《大连海事大学》2012年硕士论文　论文类型：学位论文

【摘要】：目前,全球经济处于再平衡过程中,指数市场的发展也逐步复苏,呈现快速扩张的态势。然而,世界经济的强联通性,促使指数发展危机与机会并存,对整个世界的金融体制提出了新的要求。可以说,股指期货是当前国际资本市场主流风险管理工具,也是伟大的金融创新。本文在总结和借鉴国内外研究成果的基础上,结合我国沪深300发展历程与历史数据,综合论述了定价模型以及基于统计分析的套利机理,由于篇幅和能力限制,仅探讨股指期货期现套利。本文希望通过对沪深300股指期货期限套利的实证研究,利用2010年4月至今市场交易数据,构建一个风险较低、投资收益较高、交易模型市场效率充分的套利模型,进而达到在真实套利交易情况下表现优于目前市场平均收益水平的目的。本文共分五章,在第一章阐述了本文研究的背景、目的和意义、研究框架以及创新点。在第二章,首先阐述沪深300股指期货期现套利构建的理论依据,总结归纳出国内市场期现套利的交易条件,介绍沪深300股指期货期现套利模型的设计思路。紧接着,在第三章,着重对沪深300股指期货期现套利进行市场分析,着重于现货市场标的品种的市场情况分析,沪深300股指期货市场情况分析以及套利过程中的成本分析,探索出开张套利策略时应该注意的实际问题。而后,第四章的主要工作在于建立沪深300股指期货期现套利模型。首先,确定沪深300股指期货期现套利模型风险收益目标,、沪深300股指期货期现套利模型的构建原则。而后,分析影响沪深300股指期货期现套利的因素。最后,建立沪深300股指期货期现套利模型,在此构建的是类似于敏感性分析的波动、稳定性模型,并对模型检验与修正,确立最终套利模型。最后,第五章实现沪深300股指期货期现套利模型的应用,挖掘出动态变化的市场中,固定成本与变动成本的计算是基于良好的现货选择的基础之上,只要存在充足的套利空间,便可以通过本文提出的模型进行较为准确合理的套利。得出对我国股指期货市场发展的对策建议,以及说明本文存在的不足,需进一步研究的问题。
[Abstract]:At present, the global economy is in the process of rebalancing, development index market is gradually recovering, showing the trend of rapid expansion. However, the strong connectivity of the world economy crisis and opportunity of the development of the index coexist, puts forward new requirements for the entire world financial system. It can be said that the stock index futures is the mainstream of the international capital market a risk management tool, but also a great financial innovation.
Based on the summary of domestic and abroad research results, combined with China's Shanghai and Shenzhen 300 development course and historical data, comprehensively discusses the pricing model and arbitrage mechanism based on statistical analysis, because of limited space and capacity constraints, only to explore the stock index futures arbitrage. This paper hopes through empirical research on Shanghai and Shenzhen 300 stock index futures arbitrage period since April 2010, the market transaction data, construct a lower risk, higher investment income, arbitrage trading model of market efficiency fully, and achieve arbitrage situation better than the market average income level in the real purpose.
This paper is divided into five chapters, the first chapter expounds the research background, purpose and significance, research framework and innovation. In the second chapter, firstly, the Shanghai and Shenzhen 300 stock index futures arbitrage theory construction, summarizes the domestic market arbitrage trading conditions, introduces the design ideas of Shanghai and Shenzhen 300 stock index futures arbitrage model.
Then, in the third chapter, focuses on the Shanghai and Shenzhen 300 stock index futures arbitrage market analysis, market analysis focused on the spot market standard varieties, Shanghai and Shenzhen 300 stock index futures market situation analysis and cost analysis in the arbitrage process, explore the opening of the arbitrage strategy should pay attention to the practical problems.
Then, the main work of the fourth chapter is the establishment of the Shanghai and Shenzhen 300 stock index futures arbitrage model. First, determine the Shanghai and Shenzhen 300 stock index futures arbitrage risk return model, target, construction principle of the Shanghai and Shenzhen 300 stock index futures arbitrage model. Then, analysis the influence factors of the Shanghai and Shenzhen 300 stock index futures arbitrage. Finally, the establishment of Shanghai and Shenzhen 300 stock index futures arbitrage model, this construction is similar to the sensitivity analysis of the fluctuation of stability model, and the model checking and correction, to establish the final arbitrage model.
Finally, the fifth chapter realizes the application of Shanghai and Shenzhen 300 stock index futures arbitrage model, dig out the dynamic changes in the market, the fixed cost and variable cost calculation is based on the basis of the spot choice, as long as there is a sufficient arbitrage space, they can use the proposed model is more accurate and reasonable arbitrage is obtained. Countermeasures and suggestions on China's stock index futures market development, as well as the shortcomings in this article, the problems need to be studied further.

【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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