基于门限协整方法的沪深300股指期货的期现套利研究

发布时间：2018-07-03 05:05

本文选题：沪深300股指期货 + 期现套利　；参考：《吉林大学》2012年硕士论文

【摘要】：股票指数期货是一个到期以现金方式进行交割的，通过预先决定的价格与到期日进行买入或卖出一定数量价值的股票指数的期货合约。作为最重要也是最成功的金融衍生工具之一，股票指数期货产生于二十世纪八十年代的全球金融改革中。经过时间的证明，股指期货的存在已经逐渐成为成熟金融市场的一个标志，并且通常投资者用其来规避股票市场的系统性风险。而股票指数期货最为重要的功能之一便是套利。目前的大部分研究中除了极少数的特例以外，大部分文章的研究重点集中在成熟的股票指数期货市场上，那么我们便无法知晓适用于成熟市场的实证结论是否同样适用于不成熟的股指期货市场。故对于在不成熟的股指期货市场上进行的股指期货与现货间的套利分析便急待研究。本文的写作目的是检验沪深300股指期货与股指现货之间的套利性质。在文章的理论章节中，本文以沪深300股指期货期现套利交易中的不同研究方向，进行了国内外经典文献的回顾与现阶段文献的学习。随后对指数套利策略、套利定价模型与现货指数的构建等理论基础进行了概述。在文章的实证部分，本文采用门限协整等计量方法对指数套利问题进行研究。通过数理计算方法与门限阈值理论确定股指期货期现套利的双门限值，进一步确定非套利区间，并探讨三个区制下的协整套利。具体说来：进一步对沪深300股指期货与现货指数间的套利交易进行研究，我们需要对数据进行协整检验，即对沪深300股指期货与沪深300指数之间进行协整检验。我们已经确定出两个门限值，通过两个门限值我们可以把整体数据分成三个区制：套利区间的上区制、非套利区间的中间区制、套利区间的下区制；同时通过ECM拟合沪深300股指期货合约价格与股指现货价格这两个变量，，得到模型参数；随后再进行GARCH模型的拟合以说明股指期货价格当期的波动性与指数期货与现货之间的波动溢出效应。文章最后将针对以下几方面得出结论：沪深300股指期货与现货间套利的可行性分析；指数套利交易中非套利区间的确定及意义；沪深300指数期货价格与现货价格之间的的领先滞后关系与波动溢出效应。结论中具体到现实操作，如果股指期货价格高于非套利区间的上限即上门限值，投资者便可以进行正向套利(空头套利)操作进行获利即在股指期货市场上做空同时在现货指数市场上做多。待到交割日在期、现市场上进行相反的操作来平仓。如果期货价格低于非套利区间的下限即下门限值，投资者运用反向套利(多头套利)操作进行获利，在两个市场上进行与正向套利相反的操作。
[Abstract]:A stock index futures is a futures contract in which a certain number of stock indices are bought or sold by a predetermined price with the maturity date for cash delivery at maturity. As one of the most important and successful financial derivatives, stock index futures emerged from the global financial reform in the 1980s. Over time, the existence of stock index futures has gradually become a sign of mature financial market, and investors usually use it to avoid the systemic risk of stock market. One of the most important functions of stock index futures is arbitrage. Most of the current studies have focused on the mature stock index futures market, with the exception of a few special cases. Then we can not know if the empirical conclusions applicable to mature markets are equally applicable to immature stock index futures markets. Therefore, the arbitrage analysis between stock index futures and spot in immature stock index futures market needs to be studied urgently. The purpose of this paper is to test the arbitrage nature between Shanghai and Shenzhen 300 stock index futures and stock index spot. In the theoretical chapter of the article, this paper reviews the domestic and foreign classical literature and studies the current literature based on the different research directions of Shanghai and Shenzhen 300 stock index futures current arbitrage trading. Then it summarizes the theoretical basis of index arbitrage strategy, arbitrage pricing model and spot index construction. In the empirical part of this paper, the threshold cointegration method is used to study the exponential arbitrage problem. By means of mathematical calculation method and threshold theory, the double threshold value of current arbitrage in stock index futures period is determined, and the non-arbitrage interval is further determined. Specifically, we need to test the data cointegration between Shanghai and Shenzhen 300 stock index futures and spot index, that is to say, we need to conduct cointegration test between Shanghai and Shenzhen 300 stock index futures and the Shanghai and Shenzhen 300 index to further study the arbitrage trade between Shanghai and Shenzhen 300 stock index futures and spot index. We have determined two threshold values, through which we can divide the whole data into three regions: the upper zone system of arbitrage interval, the middle zone system of non-arbitrage interval, the lower zone system of arbitrage interval; At the same time, through ECM fitting the Shanghai and Shenzhen 300 stock index futures contract price and stock index spot price these two variables, get the model parameters; Then the GARCH model is fitted to illustrate the volatility of stock index futures in the current period and the volatility spillover effect between index futures and spot. In the end, the paper draws the following conclusions: the feasibility analysis of arbitrage between Shanghai and Shenzhen 300 stock index futures and spot, the determination and significance of non-arbitrage range of index arbitrage trading; The leading lag relation and volatility spillover effect between futures price and spot price of CSI 300 index. In the actual operation, if the stock index futures price is higher than the upper limit of the non-arbitrage range, that is, the door-to-door limit, Investors can carry on the positive arbitrage (short arbitrage) operation to make a profit that is short in the stock index futures market and long in the spot index market. To the date of delivery in the period, the current market to carry out the opposite operation to close the position. If the futures price is lower than the lower threshold of the non-arbitrage range, the investors use the reverse arbitrage (long arbitrage) operation to make a profit, and carry out the operation opposite to the positive arbitrage in both markets.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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