股指期货ALPHA期现套利研究

发布时间：2018-09-19 11:01

【摘要】：股指期货是以股票价格指数为交易标的的标准化期货合约。沪深300股指期货的推出具有非常重要的实际意义，它促进中国资本市场的成熟及金融产品的多元化，揭开中国金融市场的新篇章。借此契机，本文首先简要概述股指期货产生的背景和基本情况，，对国内外股指期货进程和我国沪深300股指期货合约进行简单介绍，之后重点分析了alpha套利交易策略，并将“资金推动型选股”的思路融入到alpha套利策略中，提出“在我国，资金推动型的现货组合能够获得更大的正alpha收益”这一全新设想，并就这一设想，将资金推动型股票组合与沪深300股指期货的实际收益数据，进行了分析和实证检验。实证结果基本证实了资金推动型股票组合与沪深300股指期货之间alpha策略期现套利的有效性。本文的研究重点在现货头寸的模拟构建这个期现套利的核心问题上面。由于我国A股市场的规模较小，容易受到优势资金的影响，走势很大程度上取决于市场投资者的资金净流入，在过去以及今后很长一段时间内都属于一个资金推动型的单边做多市场。根据这一特点，文章首次提出了资金推动型股市Alpha套利模型构建法，设置了四项描述和五大条件来筛选资金推动型强势股作为现货组合，并对现货组合和沪深300股指期货收益进行必要的优化修正和实证检验。实证结果证实了资金推动型选股组合有高于同期沪深300指数的表现，从而获得正alpha值，揭示了沪深300期现套利机会的存在。在对以上实证分析的结果进行总结以后，针对当前我国股市的现状，文章对未来沪深300股指期货的真实套利提出了一些建议和展望。虽然沪深300股指期货的上市历经波折且交易规则尚不完善，但其未来成为套利市场的主要品种已是不争的事实。本文的目的是给未来沪深300股指期货的套利提供一定的指导及借鉴。
[Abstract]:Stock index futures is a standardized futures contract with stock price index as its trading target. The introduction of Shanghai and Shenzhen 300 stock index futures is of great practical significance. It promotes the maturity of China's capital market and the diversification of financial products, and opens a new chapter in China's financial market. Taking this opportunity, this paper first briefly outlines the background and basic situation of stock index futures, introduces the process of stock index futures both at home and abroad and China's Shanghai and Shenzhen 300 stock index futures contracts, and then focuses on the analysis of alpha arbitrage trading strategy. The idea of "fund driven stock selection" is incorporated into the alpha arbitrage strategy, and a new idea that "in our country, the cash portfolio of the fund driven type can obtain a greater positive alpha return" is put forward, and on the basis of this assumption, The paper analyzes and tests the actual income data of CSI 300 stock index futures. The empirical results confirm the effectiveness of alpha strategy arbitrage between the capital-driven stock portfolio and the CSI 300 stock index futures. This paper focuses on the simulation of spot position to construct the core issue of arbitrage in this period. As the size of China's A-share market is small and vulnerable to the influence of superior funds, the trend depends to a large extent on the net inflow of funds from market investors. In the past, and for a long time to come, belong to a fund-driven unilateral long market. According to this characteristic, the paper first puts forward the Alpha arbitrage model construction method of the capital-driven stock market, and sets up four descriptions and five conditions to select the strong capital-driven stocks as spot portfolio. And the spot portfolio and the Shanghai and Shenzhen 300 stock index futures income necessary optimization correction and empirical test. The empirical results confirm that the combination of fund driven stock selection has higher performance than the Shanghai and Shenzhen 300 index in the same period, thus obtaining the positive alpha value, which reveals the existence of the current arbitrage opportunity in the Shanghai and Shenzhen 300 period. After summing up the results of the above empirical analysis, in view of the current situation of China's stock market, this paper puts forward some suggestions and prospects for the future real arbitrage of Shanghai and Shenzhen 300 stock index futures. Although the listing of Shanghai and Shenzhen 300 stock index futures has experienced twists and turns and the trading rules are not perfect, it is an indisputable fact that it will become the main variety of arbitrage market in the future. The purpose of this paper is to provide some guidance and reference for arbitrage of Shanghai and Shenzhen 300 stock index futures.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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