基于协整检验方法的股指期货价差套利分析

发布时间：2018-04-25 12:35

本文选题：股指期货 + 价差套利　；参考：《辽宁大学》2012年硕士论文

【摘要】：股指期货作为金融期货的一种，是以股票指数为标的物的金融期货合约。它是资本市场发展到一定阶段的必然产物，对资本市场的发展成熟起着很好的推动作用。套利是投资者在金融市场上采取的一种投资策略，其能够规避对冲期货市场上存在的各种风险，因此在投资者当中得到了广泛的应用。对于股指期货跨品种价差套利方面的研究，国外相关文献还是比较少的；在国内，该方面的研究也比较少。本文主要从四大方面研究股指期货的价差套利。首先在绪言当中，对股指期货的发展背景及国内外对股指期货套利的研究情况进行了简单的概述，并对本文的结构、目的、不足做了简单的介绍；第一章，介绍了股指期货套利的种类、特点、套利方法，详细论述了股指期货跨品种价差套利的优点及套利方式；第二章，使用协整方法对股指期货合约价格进行协整检验，并对价差套利的结果进行回报率计算；在第三章，对本文进行了简单总结，并提出了股指期货价差套利研究对中国股指期货市场上套利的借鉴意义。本文最终证明了在美国股指期货合约之间可以构筑价差套利，，这样就会有无风险利润。协整检验证明了股指期货合约之间的长期关系，在本文的研究中相关联的股指期货的价格是协整的，来自于协整关系中的价差在长期会回复到平均水平。交易规则模拟证实了在考虑了交易成本和价差套利的回报率之后价差套利的平均盈利是非常可观的。股指期货在我国推出有一年之多，这不仅成为了许多证券投资者套利和对冲风险的交易工具，而且更重要的是提升了我国证券期货市场的行业竞争水平和整体实力。股指期货的套利交易在我国虽然属于一种较新的盈利模式，能够给投资者带来无风险利润，但是，在我国的研究相对来说比较少。因此，研究股指期货的价差套利对于我们来说具有重要的现实意义。
[Abstract]:As a kind of financial futures, stock index futures are financial futures contracts with stock index as the subject matter. It is the inevitable outcome of the development of capital market to a certain stage and plays a good role in promoting the development of capital market. Arbitrage is an investment strategy adopted by investors in the financial market. It can avoid all kinds of risks in the futures market, so it has been widely used among investors. As for the research of cross-variety spread arbitrage of stock index futures, foreign literature is still relatively few; in domestic, the research on this aspect is also relatively few. This paper mainly studies the spread arbitrage of stock index futures from four aspects. First of all, in the preface, the development background of stock index futures and the domestic and foreign research on arbitrage of stock index futures are briefly summarized, and the structure, purpose, deficiency of this paper are briefly introduced. This paper introduces the types, characteristics and arbitrage methods of stock index futures arbitrage, and discusses in detail the advantages and arbitrage methods of arbitrage across varieties of stock index futures. Chapter two uses cointegration method to test the price of stock index futures contracts. In the third chapter, the author makes a brief summary of this paper, and puts forward the reference significance of the arbitrage of the price difference of stock index futures to the Chinese stock index futures market. This paper finally proves that the arbitrage of price difference can be constructed between American stock index futures contracts, so that there will be no risk profit. The cointegration test proves the long-term relationship between stock index futures contracts. In this paper, the price of the stock index futures is cointegrated, and the price difference from the cointegration relationship will return to the average level in the long run. The simulation of the trading rules confirms that the average profit of the spread arbitrage is considerable after taking into account the transaction cost and the return of the spread arbitrage. Stock index futures have been introduced in our country for as many years, which has not only become a trading tool for many securities investors to arbitrage and hedge risks, but also, more importantly, enhanced the level of industry competition and the overall strength of China's securities and futures markets. Although the arbitrage trading of stock index futures belongs to a relatively new profit model in our country, it can bring risk-free profits to investors, but the research in our country is relatively few. Therefore, it is of great practical significance to study the spread arbitrage of stock index futures.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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