我国股指期货跨期套利策略研究

发布时间：2018-06-30 10:35

本文选题：股指期货 + 跨期套利　；参考：《广西大学》2012年硕士论文

【摘要】：2010年4月16日,中国正式推出沪深300指数期货,弥补了我国股票市场只能做多不能做空的尴尬局面,为投资者带来潜在的获利机会,迎合了市场的需求。由于股指期货属于杠杆交易,直接做多或做空股指期货不但需要精准的判断力和敏锐的市场嗅觉,同时也要承担较大的风险,对于投资者而言获利难度较大。因此,笔者尝试从中小投资者的角度出发,试图挖掘出在较低的风险水平下既能稳定获利、又便于操作的套利方法。期货套利一般包括期现套利、跨期套利、跨品种套利和跨市场套利。期现套利需要分别在期货市场和现货市场建仓,利用期货与现货价格差的波动进行获利。由于在现货市场建仓需要的资金量较大,不太适应于中小投资者,故本文对其不作分析研究。而现阶段我国股票市场还没有跨品种套利和跨市场套利的机会,故本文着重分析跨期套利。通过对跨期套利原理的理论分析,可以衍生出各种适合不同情况的套利策略。比如利用某一时点由于指数的波动导致不同月份的合约价差突然变大,投资者预期价差将逐渐回归正常水平,则朝着价差缩小的方向开展套利策略。本文通过对2010年4月16日至2011年12月16日的沪深300指数期货交易数据进行研究分析,依据不同交割月份的合约价差在多数情况下逐渐缩小的特点,初步构建出了跨期套利的整体模型：朝着价差缩小的方向开展跨期套利,并进一步融入了止盈止损措施,引入了入市信号的概念,完善了沪深300指数期货跨期套利模型。这个模型是本文的创新之处。随后,本文对建立的模型进行盈利能力分析,结果显示本模型在沪深300指数大幅下跌的情况下获得了超过10%的年化收益率,不但实现了资产的保值增值,同时也实实在在地为中小投资者提供了一种低风险跨期套利的获利模式,使其在熊市的大环境下也能持续获利。
[Abstract]:On April 16, 2010, China officially launched the Shanghai and Shenzhen 300 Index Futures, which made up for the embarrassing situation that China's stock market could only do more than short, and brought potential profit opportunities to investors and catered to market demand. Because stock index futures belong to leveraged trading, direct long or short stock index futures need not only accurate judgment and sharp market sense, but also take on greater risks, so it is difficult for investors to make profits. Therefore, from the angle of small and medium investors, the author tries to find out a arbitrage method which can make profits stably and is easy to operate at lower risk level. Futures arbitrage generally includes current arbitrage, cross-term arbitrage, cross-variety arbitrage and cross-market arbitrage. Futures arbitrage needs to build positions in futures market and spot market respectively, and make profits by the fluctuation of futures and spot price difference. Because of the large amount of capital needed in the spot market, it is not suitable for the small and medium-sized investors, so this paper does not make an analysis of it. However, there is no chance of cross-variety arbitrage and cross-market arbitrage in our stock market at present, so this paper focuses on the analysis of cross-period arbitrage. Through the theoretical analysis of the intertemporal arbitrage principle, various arbitrage strategies suitable for different situations can be derived. For example, because of the fluctuation of the index at a certain time point, the contract spread in different months suddenly becomes larger, and investors expect that the spread will gradually return to normal level, and then carry out arbitrage strategy towards the direction of narrowing the spread. This paper analyzes the futures trading data of Shanghai and Shenzhen 300 Index from April 16, 2010 to December 16, 2011, and according to the characteristics of contract price difference in different delivery months, which is gradually narrowing in most cases, the paper analyzes the futures trading data of CSI 300 index from April 16, 2010 to December 16, 2011. The overall model of intertemporal arbitrage is constructed preliminarily: carry out the intertemporal arbitrage towards the direction of narrowing the spread, and further incorporate the stop loss measures, introduce the concept of the signal of entering the market, and perfect the cross-period arbitrage model of Shanghai and Shenzhen 300 index futures. Then, this paper analyzes the profitability of the model, and the results show that the model has achieved an annual rate of return of more than 10% when the CSI 300 index has dropped sharply, which not only achieves the value and appreciation of assets, but also increases the value of assets. At the same time, it also provides a low risk intertemporal arbitrage profit model for small and medium investors, so that they can continue to profit in the bear market environment.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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