我国股指期货定价及期现套利研究

发布时间：2018-01-13 22:22

本文关键词：我国股指期货定价及期现套利研究　出处：《宁波大学》2013年硕士论文　论文类型：学位论文

【摘要】：股指期货是金融期货的一种，具有一般期货的特征。但由于其标的是股票价格指数，它是由一篮子股票的价格平均数组成，所以其变化的方向与幅度较单一的商品期货和利率期货要复杂的多。自1982年2月24日美国堪萨斯期货交易所推出了第一个股指期货——价值线指数期货合约以来，股指期货交易如雨后春笋般在世界各地发展起来。2010年4月16日，我国沪深300股指期货在中国金融期货交易所上市，首日交易量就达到了58547手。随后交易量逐步放大，其名义成交金额已跃居全球股指期货第二位，仅次于SP500迷你型股指期货合约。在我国，股指期货的发展刚刚起步，市场还不够成熟，且仅推出了沪深300一个品种的股指期货，所以市场参与者对投资策略的了解还不够深入。因此，对这一重要的金融衍生品的定价研究显得尤为重要，并且进一步改进套利策略。本文主要是从理论定价和期现套利两个方面对股指期货进行研究。在股指期货定价方面，对当前股指期货定价的主流模型，包括完全市场下的持有成本定价模型，以及非完全市场下的区间定价模型和一般均衡模型做了详细介绍。之后，用沪深300股指期货数据对这些模型进行了实证研究，结合目前经济形势分析了实证结果。在股指期货期现套利方面，结合之前的持有成本模型和区间定价模型对期现套利策略做了实证分析，，紧接着简单介绍了统计套利策略。最后，引入CVaR方法对沪深300股指期货做了风险度量研究，并进行了实证分析，验证了该模型的有效性，对我国将要推出的其它金融期货也有重要的借鉴意义。
[Abstract]:Stock index futures is a kind of financial futures, which has the characteristics of general futures. However, because its target is the stock price index, it is composed of the average price of a basket of stocks. So the direction and range of its change is much more complicated than the single commodity futures and interest rate futures. Since February 24th 1982, the Kansas City Futures Exchange has launched the first stock index futures-value line index futures. Since the contract. Stock index futures trading has sprung up all over the world. In April 16th 2010, China's Shanghai and Shenzhen 300 stock index futures were listed on the China Financial Futures Exchange. The first day of trading volume reached 58547. Then the trading volume gradually enlarged, its nominal transaction volume has leapt to the second place in the world stock index futures, second only to the SP500 mini-index futures contract. In China. The development of stock index futures has just started, the market is not mature enough, and only introduced 300 varieties of stock index futures in Shanghai and Shenzhen, so market participants do not have a deep understanding of investment strategy. It is particularly important to study the pricing of this important financial derivative and further improve arbitrage strategy. This paper mainly studies stock index futures from two aspects: theoretical pricing and futures arbitrage. In the aspect of stock index futures pricing, the mainstream pricing model of stock index futures is put forward. Including the holding cost pricing model under the complete market, as well as the interval pricing model and the general equilibrium model under the incomplete market. Using the Shanghai and Shenzhen 300 stock index futures data to carry on the empirical research to these models, combined with the current economic situation to analyze the empirical results, in the stock index futures period arbitrage. Combined with the previous holding cost model and the interval pricing model, this paper makes an empirical analysis of the current arbitrage strategy, and then briefly introduces the statistical arbitrage strategy. Finally, the risk measurement of CSI 300 stock index futures is studied by using CVaR method, and the validity of the model is verified by empirical analysis. Other financial futures to be launched in China will also have important reference significance.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F224

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