股指期货套利机制的实证研究

发布时间：2018-05-09 20:48

本文选题：股指期货 + 期现套利　；参考：《复旦大学》2012年硕士论文

【摘要】：股指期货的推出,为我国资本市场引入了风险对冲工具,完善了多层次的资本市场体系的建设。但是由于其本身杠杆性、零和博弈的特性容易诱发非理性、投机性行为,不利于提高市场的定价效率以及发挥风险转移的功能。因此,为了能够促进市场的稳定、成熟和健康发展,本文提出加强和完善套利机制,通过套利来提高市场的定价效率和稳定性,培育出成熟的投资主体。本文共分为六章。第一章是文献综述及相关理论概述。主要概述国内外学者针对股指期货合约的定价、无套利区间、市场套利机会以及跟踪误差衡量等方面的研究成果。并指出相对于国内学者的研究,本文将立足于真实的市场数据而非仿真交易数据,建立的模型也充分考虑现实成本及制度上的因素,使得结果更加具有现实意义。另外,重点分析了统计套利、协整及误差修正模型,从而为后文建立跨期套利的模型奠定基础。第二章是关于股指期货套利的评析。首先详细介绍了股指期货的内涵、特征以及意义,其特点是可做空的衍生产品,并采取保证金的交易方式,主要作用在于规避股票市场系统性风险和价格发现。然后阐述了套利的基本概念、特点以及分类,从而能够对整个套利有着更为清晰的认识。第三章是针对期现套利的实证分析。主要是围绕模型的构造、沪深300指数的复制、模型参数的选取、实证分析等几个方面的分析。本章中依据经典的持有成本模型,关键是在充分考虑影响套利的各种成本及制度因素的条件下,建立起与现实情形比较相符的无套利区间,并详细研究了使用分层市值加权法来模拟现货指数,具有很强的现实指导意义。第四章是对跨期套利的实证分析。首先大致介绍了跨期套利的含义和类型；然后在持有成本的理论基础上,使用协整和误差修正的方法建立起跨期套利的数量化模型；最后详尽的给出了操作流程,并进行实证分析和检验。第五章是对风险管理的分析。基于套利过程中可能存在的风险,使用VAR方法对风险进行量化分析和监控,并指出这对于监管部门加强风险的管理和监管政策的制定都有很好的指导作用。第六章是本文的结论及对策建议。本章中给出了一些总结性的结论,并提出了相关的对策建议,希望通过制度性的措施来促进套利投资策略的完善和充分发展,从而保障市场长远、健康的发展。
[Abstract]:The introduction of stock index futures has introduced risk hedging tools for China's capital market, and improved the construction of a multi-level capital market system. However, because of its leverage itself, the characteristics of zero sum game can easily induce irrational and speculative behavior, which is not conducive to improving the pricing efficiency of the market and playing the function of risk transfer. In order to promote the stability, maturity and healthy development of the market, this paper proposes to strengthen and improve the arbitrage mechanism, to improve the pricing efficiency and stability of the market through arbitrage, and to cultivate a mature investment subject.
This article is divided into six chapters. The first chapter is a summary of literature review and related theories. It mainly summarizes the research results of domestic and foreign scholars on the pricing of stock index futures contracts, no arbitrage range, market arbitrage opportunities and tracking error measurement, and points out that this paper will be based on real market data rather than the domestic scholars. The simulation transaction data and the established model also fully consider the actual cost and the institutional factors, making the result more realistic. In addition, it focuses on the analysis of statistical arbitrage, cointegration and error correction model, thus laying the foundation for the later model of establishing intertemporal arbitrage.
The second chapter is about the evaluation and analysis of stock index futures arbitrage. First, the connotation, characteristics and significance of stock index futures are introduced in detail. The characteristics of the stock index futures are the derivative products that can be empty, and the margin trading mode is adopted. The main function is to avoid systematic risk and price discovery in the stock market. Then, the basic concepts, characteristics and points of the arbitrage are expounded. Class, so that we can have a clearer understanding of the whole arbitrage.
The third chapter is an empirical analysis of the present arbitrage. This chapter focuses on the construction of the model, the replication of the Shanghai and Shenzhen 300 index, the selection of model parameters, and the empirical analysis. In this chapter, the key is to establish and present the cost and institutional factors that affect the arbitrage under the conditions of the cost and institutional factors that affect the arbitrage. In fact, there is a no arbitrage interval which is consistent with each other, and a detailed study of the use of hierarchical market value weighting method to simulate spot index has great practical guiding significance.
The fourth chapter is an empirical analysis of intertemporal arbitrage. First, it introduces the meaning and type of intertemporal arbitrage. Then, on the basis of the theory of holding cost, the quantitative model of Interperiod arbitrage is established by using cointegration and error correction. Finally, the operation process is given in detail, and the empirical analysis and test are carried out.
The fifth chapter is the analysis of risk management. Based on the possible risks in the process of arbitrage, the VAR method is used to quantify and monitor the risk, and it is pointed out that it has a good guiding role for the regulatory authorities to strengthen the management of risk and the formulation of regulatory policies.
The sixth chapter is the conclusion and Countermeasures of this article. In this chapter, some concluding conclusions are given, and some relevant countermeasures and suggestions are put forward. We hope to promote the perfect and full development of the arbitrage investment strategy through systematic measures so as to ensure the long-term and healthy development of the market.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】