中国股指期货期现套利研究及策略设计

发布时间：2018-04-06 22:20

本文选题：股指期货　切入点：套利　出处：《浙江大学》2017年硕士论文

【摘要】：2010年4月股指期货的推出,对我国资本市场的发展意义重大,丰富了投资者的投资工具,同时可以帮助投资者规避投资风险,降低股市的波动率。此前推出的融资融券业务也可以更好的帮助股指期货实现上述功能。股指期货期现套利对股指期货市场非常重要。股指期货期现套利可以调整期货和现货价格的偏差,提高合理性,另外可以提高股指期货市场流动性。股指期货期现套利研究的关键是无套利区间的计算,跟踪误差较小现货组合的选择两个方面的内容,因此本文重点分析以上两个部分,最后结合中国实际情况进行无套利机会的测算。本文第一个重点内容主要是无套利区间的推导以及三种现货组合的构建。无套利区间方面,主要的考虑因素包括交易成本,冲击成本,跟踪误差成本以及中国股指期货保证金水平,融资融券利率等,推导出相应的区间定价模型。现货组合构建方面,本文采用三种方式来构造现货组合,其一是利用优化复制化法来构建股票组合,其二根据跟踪误差最小化构建ETFs组合,最后利用期权平价原理构建期权组合来构造现货。本文第二个重点内容主要是根据近几年股指期货和现货的相关数据进行股指期货期现套利的实证分析。自2015年股灾过后,股指期货市场贴水现象频现,融资融券一票难求,因此,本文主要根据近三年股指期货和相应现货组合的数据,来研究股指期货期现套利。首先,假设融资融券交易可以顺利进行,将ETFs组合作为现货组合来进行套利的实证分析。其次,针对手中拥有大量现货组合的机构,本文根据跟踪误差最小化筛选出能够较好跟踪沪深300指数的十只权重股,现货商可以适当增持相应的权重股,在恰当时机进行反向套利,赚取丰厚收益。最后,针对融资融券困难现状,在当下市场上,可以使用期权组合构建现货空头,实现反向期现套利。
[Abstract]:The launch of stock index futures in April 2010 is of great significance to the development of China's capital market and enriches the investment tools of investors and can help investors avoid investment risks and reduce the volatility of the stock market.Prior to the introduction of short-margin financing business can better help stock index futures to achieve the above functions.The current arbitrage of stock index futures is very important to the stock index futures market.The current arbitrage of stock index futures can adjust the deviation between futures and spot prices and improve the rationality. In addition, it can improve the liquidity of stock index futures market.The key of stock index futures current arbitrage research is the calculation of no-arbitrage interval and the selection of spot combination with small tracking error. So this paper focuses on the above two parts.Finally, according to the actual situation in China, we calculate the opportunity of no arbitrage.The first focus of this paper is the derivation of no-arbitrage range and the construction of three spot combinations.In the aspect of no-arbitrage range, the main factors are transaction cost, impact cost, tracking error cost, margin level of Chinese stock index futures, margin rate of margin margin, etc., and the corresponding interval pricing model is derived.In the aspect of spot portfolio construction, this paper uses three ways to construct spot portfolio, one is to construct stock portfolio by optimizing replicative method, the other is to construct ETFs portfolio according to the minimization of tracking error.Finally, the option combination is constructed by using option parity principle to construct spot.The second focus of this paper is based on the stock index futures and spot data in recent years to carry out the empirical analysis of arbitrage in stock index futures period.Since the stock disaster in 2015, the phenomenon of discount in stock index futures market is frequent, and it is difficult to obtain a single vote for margin financing. Therefore, this paper mainly studies the arbitrage of stock index futures period based on the data of stock index futures and corresponding spot combinations in the recent three years.First, assuming that margin trading can proceed smoothly, ETFs portfolio is used as spot portfolio to carry out empirical analysis of arbitrage.Secondly, in view of the institutions with a large number of spot portfolios in their hands, according to the tracking error minimization, this paper screened out 10 weight stocks that can better track the CSI 300 index, and the spot traders can appropriately increase their holdings of the corresponding heavyweights.Carry on the reverse arbitrage at the right time to make a good profit.Finally, aiming at the difficult situation of margin financing, in the current market, we can use option combination to construct spot short to realize reverse arbitrage.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5

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