股票被动型分级基金的配对套利策略研究
发布时间：2018-12-05 22:27
【摘要】：随着我国资本市场的健全与发展,现有的金融产品已无法满足市场的需求,进而金融衍生产品被逐渐提上日程。2007年分级基金首次引入中国,其较强的杠杆效应,激发了投资者的投资热情,同时受到了相关研究人员以及市场参与者的广泛关注。近年来,我国分级基金市场逐渐步入高速发展期,尤其是在2014年下半年至2015年上半年的牛市时期。同时股票被动型分级基金也持续占据着我国分级基金市场的绝对份额,区别于其它类型分级基金,股票被动型分级基金的母基金采用指数化被动型的投资方式,通过严格的程序把控和风险管理来减小跟踪误差,从而降低交易中存在的非系统性风险,达到提高收益的目的。基于上述分析,为了让投资者能够更全面的了解股票被动型分级基金,并积极的参与股票被动型分级基金的投资,本文首先介绍了股票被动型分级基金的基本概念、收益分配方式、折算机制以及配对套利机制。其次,以股票被动型分级基金为标的资产构建双障碍期权定价模型,并对股票被动型分级基金的套利价值进行实证分析。再次,结合配对套利机制的特点构建股票被动型分级基金的配对套利模型并进行实证研究,同时在模型构建时又充分考虑到股票被动型分级基金在一级市场申购、赎回费率以及二级市场进行买卖的交易费等成本,使得股票被动型分级基金的配对套利更符合现实市场的情况。最后本文通过构建股票被动型分级基金的母基金净值、A类份额以及B类份额二级市场价格的模拟模型,对其在未来一年的配对套利情况进行预测,进而为配对套利投资者提供指导。本文选取2014年4月31日前上市交易的39只股票被动型分级基金作为研究对象,并进行相应的实证研究。实证结果表明:(1)基于双障碍期权价格角度可以进一步推出母基金与A、B类份额间存在套利价值,同时对于股票被动型分级基金而言,其在2014年第二季度末至2015年第三季度末之间期权价格的波动较强,其余时间期权价格的波动程度相对较弱;(2)股票被动型分级基金B类份额的价格波动性更强,当获得更高收益时必然会面临更大的风险。故而针对不同类型的投资者可以选择不同份额进行投资,从而获得预期收益;(3)无论是从全样本下还是极端市场下的配对套利统计结果来看,所有股票被动型分级基金的预期可能套利次数均高于套利成功次数,且在进行拆分套利时,其预期收益率均值高于实际收益率均值,但是在合并套利过程中,并不具有该特征。此外,绝大部分股票被动型分级基金均表现出合并套利的套利成功次数高于拆分套利的套利成功次数,且合并套利的成功比率要高于拆分套利的成功率,这说明中国分级基金市场的合并套利机会整体上远多于拆分套利机会;(4)在拆分套利中,大部分股票被动型分级基金存在极端市场下的预期收益率均值及实际收益率均值均高于全样本的现象,而合并套利并没有表现出此种特征,同时股市处于波动期间能够产生更多的套利可能;(5)本文构建的Netlogo仿真系统、双因素跳扩散模型在一定程度上能够确保股票被动型分级基金母基金模拟净值序列、A类份额及B类份额的模拟价格序列与历史价格序列的走势基本保持一致,且采用模拟数据进行配对套利预测时亦能得出与全样本下相同的结论。
[Abstract]:With the sound and development of our country's capital market, the existing financial products have not been able to meet the demand of the market, so that the financial derivatives are gradually put on the agenda. In 2007, the classification fund was introduced to China for the first time, with a strong leverage effect and stimulated the investor's enthusiasm for investment. It was also widely concerned by the relevant researchers and the market participants. In recent years, China's classification fund market has gradually entered the high-speed development period, especially during the bull market in the second half of 2014 to the first half of 2015. At the same time, the passive grading fund of the stock also continues to occupy the absolute share of the Chinese grading fund market, which is distinguished from other types of classification funds, and the parent fund of the stock passive grading fund adopts the investment mode of the indexation passive type, The control and risk management are adopted to reduce the tracking error through strict procedures, so that the non-systematic risk existing in the transaction is reduced, and the purpose of improving the income is achieved. Based on the above analysis, in order to make the investor better understand the stock passive grading fund, and actively participate in the investment of the stock passive grading fund, this paper first introduces the basic concept of the stock passive grading fund and the way of income distribution. The translation mechanism and the matching arbitrage mechanism. Secondly, the two-obstacle option pricing model is built with the equity passive grading fund as the target asset, and the arbitrage value of the stock passive grading fund is analyzed. Thirdly, by combining the characteristics of the matching arbitrage mechanism, the matching arbitrage model of the stock passive grading fund is constructed and the empirical research is carried out. At the same time, when the model is constructed, the stock passive grading fund is fully taken into account in the first-order market application, The cost of the redemption rate and the transaction cost of the two-tier market is such that the matching arbitrage of the stock passive grading fund is more in line with the situation of the real market. In the end, this paper, through the construction of the model of the net value, the class A share and the second-tier market price of the class B share, forecasts the matching arbitrage situation in the next year, and then provides guidance for the paired arbitrage investors. In this paper, a 39-stock passive grading fund, which is listed on April 31, 2014, is selected as the research object, and the corresponding empirical research is carried out. The empirical results show that (1) There is an arbitrage value between the parent fund and the A and B shares based on the two-barrier option price angle, and for the stock passive grading fund, the fluctuation of the option price between the end of the second quarter of 2014 and the end of the third quarter of 2015 is strong, and the fluctuation degree of the rest time option price is relatively weak; (2) the price volatility of the shares of the stock passive type grading fund is stronger, A greater risk is bound to be exposed when higher yields are obtained. so that a different share can be selected for investment for different types of investors to obtain the expected benefit; (3) from the result of the paired arbitrage statistics under the full sample or in the extreme market, The expected number of arbitrage times of all the passive grading funds is higher than that of the arbitrage, and when the split-arbitrage is carried out, the expected yield of the passive grading fund is higher than that of the actual yield, but in the process of combining the arbitrage, it does not have the characteristic. In addition, most of the stock passive grading funds show that the number of arbitrage successful times of the combined arbitrage is higher than the number of the arbitrage successful times of the split arbitrage, and the success ratio of the combined arbitrage is higher than the success rate of the split arbitrage. This means that the combined arbitrage opportunity of the Chinese grading fund market is far more than the split-arbitrage opportunity; (4) In the split-arbitrage, most of the stock passive-type grading fund has the expected return-rate mean value and the real yield average value under the extreme market, which is higher than that of the whole sample, and (5) the two-factor jump-diffusion model can ensure the net value sequence of the parent fund of the stock-passive grading fund to a certain extent, The simulation price sequence of category A and B share is basically consistent with the trend of historical price sequence, and the same conclusion as the full sample can also be obtained when the matched arbitrage forecast is carried out by using the simulation data.
【学位授予单位】：西安理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
[Abstract]:With the sound and development of our country's capital market, the existing financial products have not been able to meet the demand of the market, so that the financial derivatives are gradually put on the agenda. In 2007, the classification fund was introduced to China for the first time, with a strong leverage effect and stimulated the investor's enthusiasm for investment. It was also widely concerned by the relevant researchers and the market participants. In recent years, China's classification fund market has gradually entered the high-speed development period, especially during the bull market in the second half of 2014 to the first half of 2015. At the same time, the passive grading fund of the stock also continues to occupy the absolute share of the Chinese grading fund market, which is distinguished from other types of classification funds, and the parent fund of the stock passive grading fund adopts the investment mode of the indexation passive type, The control and risk management are adopted to reduce the tracking error through strict procedures, so that the non-systematic risk existing in the transaction is reduced, and the purpose of improving the income is achieved. Based on the above analysis, in order to make the investor better understand the stock passive grading fund, and actively participate in the investment of the stock passive grading fund, this paper first introduces the basic concept of the stock passive grading fund and the way of income distribution. The translation mechanism and the matching arbitrage mechanism. Secondly, the two-obstacle option pricing model is built with the equity passive grading fund as the target asset, and the arbitrage value of the stock passive grading fund is analyzed. Thirdly, by combining the characteristics of the matching arbitrage mechanism, the matching arbitrage model of the stock passive grading fund is constructed and the empirical research is carried out. At the same time, when the model is constructed, the stock passive grading fund is fully taken into account in the first-order market application, The cost of the redemption rate and the transaction cost of the two-tier market is such that the matching arbitrage of the stock passive grading fund is more in line with the situation of the real market. In the end, this paper, through the construction of the model of the net value, the class A share and the second-tier market price of the class B share, forecasts the matching arbitrage situation in the next year, and then provides guidance for the paired arbitrage investors. In this paper, a 39-stock passive grading fund, which is listed on April 31, 2014, is selected as the research object, and the corresponding empirical research is carried out. The empirical results show that (1) There is an arbitrage value between the parent fund and the A and B shares based on the two-barrier option price angle, and for the stock passive grading fund, the fluctuation of the option price between the end of the second quarter of 2014 and the end of the third quarter of 2015 is strong, and the fluctuation degree of the rest time option price is relatively weak; (2) the price volatility of the shares of the stock passive type grading fund is stronger, A greater risk is bound to be exposed when higher yields are obtained. so that a different share can be selected for investment for different types of investors to obtain the expected benefit; (3) from the result of the paired arbitrage statistics under the full sample or in the extreme market, The expected number of arbitrage times of all the passive grading funds is higher than that of the arbitrage, and when the split-arbitrage is carried out, the expected yield of the passive grading fund is higher than that of the actual yield, but in the process of combining the arbitrage, it does not have the characteristic. In addition, most of the stock passive grading funds show that the number of arbitrage successful times of the combined arbitrage is higher than the number of the arbitrage successful times of the split arbitrage, and the success ratio of the combined arbitrage is higher than the success rate of the split arbitrage. This means that the combined arbitrage opportunity of the Chinese grading fund market is far more than the split-arbitrage opportunity; (4) In the split-arbitrage, most of the stock passive-type grading fund has the expected return-rate mean value and the real yield average value under the extreme market, which is higher than that of the whole sample, and (5) the two-factor jump-diffusion model can ensure the net value sequence of the parent fund of the stock-passive grading fund to a certain extent, The simulation price sequence of category A and B share is basically consistent with the trend of historical price sequence, and the same conclusion as the full sample can also be obtained when the matched arbitrage forecast is carried out by using the simulation data.
【学位授予单位】：西安理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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