股指期货套期保值和套利策略分析

发布时间：2018-01-14 17:20

本文关键词：股指期货套期保值和套利策略分析　出处：《中国社会科学院研究生院》2013年硕士论文　论文类型：学位论文

【摘要】：股指期货合约运行近三年，它是我国金融市场向成熟的资本市场靠近的标志。自金融危机爆发以来，基金公司巨额亏损，有的甚至超过80%，其原因之一就是缺乏有效的避险工具来对冲系统性风险。在资产管理业务的实践应用中哪些问题是有待解决；如何使资产管理在保值的基础上实现稳定的增值。国内研究者大多致力于股指期货套期保值和套利的模型、最优比率问题的研究，但对于实践中如何结合技术分析来运用股指却少有系统的研究。股指期货在实践应用中错综复杂，，难度较大，如何在实践中应用股指期货进行投资，成为广大投资者关注的焦点。因此本文作者致力于股指期货套期保值和套利策略在风险管理中的应用。故对套期保值和套利的交易策略及应用详细论述，并将套利策略的分析和应用进行实证检验，进而为投资者的实际操作提供理论参考。作者采用理论和实证相结合、定性分析和定量分析相结合的方法对股指期货套期保值和套利策略进行分析研究，结合数据和案例进行实证检验。本文的创新之处在于以股指期货的套期保值和套利交易的策略为依据，将套期保值、套利的策略与资产管理相结合。机构投资者根据风险程度的差异、融资渠道的不同、资金的周转期、借贷利率及预期收益等不同因素来划分标的资产的投资组合配置。将资产依据不同的风险等级按比例配置，提出资产管理的创新模式。提出动态组合投资的建议和股指期货应用策略的展望。无论是套期保值策略、套利策略还是其它组合投资策略，都存在着各种不足，在任何市场情况下都是最优策略的组合形式是不存在的。因此在实际操作中应针对不同的目标选择不同的投资策略。得出本文的结论：（1）在资产管理中正确运用股指期货的套期保值和套利策略不但可以有效地规避系统性风险，提高投资组合收益率，还可以设计资产配置的创新及各种风险收益比不同的投资组合，提高投资组合的效率。（2）在资本资产定价理论和股指期货的持有成本定价模型的基础上，创出将套期保值或套利资产证券化的新的资产管理应用模式。文章最后指出本文的不足之处，并引出下一步研究的方向。
[Abstract]:Stock index futures contracts run for nearly three years, which is the sign that our financial market is close to the mature capital market. Since the financial crisis broke out, fund companies have made huge losses, some of which even exceeded 80%. One of the reasons is the lack of effective hedge tools to hedge systemic risk. Domestic researchers mostly focus on the model of hedging and arbitrage of stock index futures and the study of optimal ratio. However, there is little systematic research on how to use stock index in practice with technical analysis. The application of stock index futures in practice is complicated and difficult, and how to use stock index futures to invest in practice. Therefore, the author is devoted to the application of hedging and arbitrage strategy in risk management. Therefore, the trading strategy and application of hedging and arbitrage are discussed in detail. And carry on the empirical test to the analysis and application of the arbitrage strategy, and then provide the theoretical reference for the investor's actual operation. The author adopts the combination of the theory and the demonstration. Qualitative analysis and quantitative analysis are used to analyze the hedging and arbitrage strategies of stock index futures. The innovation of this paper is based on the strategy of hedging and arbitrage trading of stock index futures, combining the strategy of hedging and arbitrage with asset management. Institutional investors according to the degree of risk differences. Different financing channels, the revolving period of funds, loan interest rate and expected income are different factors to divide the portfolio allocation of underlying assets. The assets are allocated proportionally according to different risk levels. This paper puts forward the innovative mode of asset management, the suggestion of dynamic portfolio investment and the prospect of application strategy of stock index futures. Whether hedging strategy, arbitrage strategy or other portfolio investment strategy, there are a variety of shortcomings. There is no combination form of optimal strategy in any market situation. Therefore, different investment strategies should be chosen according to different objectives in practice. The conclusion of this paper is: 1). The correct use of hedging and arbitrage strategies of stock index futures in asset management can not only effectively avoid systemic risk. To increase the return rate of investment portfolio, we can also design the innovation of asset allocation and the different investment portfolio with different ratio of risk to return. On the basis of the capital asset pricing theory and the holding cost pricing model of stock index futures, a new asset management application model of hedging or securitization of arbitrage assets is proposed. Finally, the paper points out the shortcomings of this paper, and leads to the next research direction.
【学位授予单位】：中国社会科学院研究生院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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