股指期货套利实证分析

发布时间：2018-06-21 23:16

本文选题：股指期货 + 期现套利　；参考：《对外经济贸易大学》2016年硕士论文

【摘要】：本文对股指期货涉及的各类套利方式在国内市场的表现进行了实证研究。在介绍了三种股指期货及其对应股指指数的基本性质后,阐述了各种套利方式的理论基础,并利用WIND金融终端API可提取的国内三种股指指数数据和对应期货合约的行情数据和Matlab软件进行了相关研究,包括Alpha套利、跨期套利、跨品种套利以及跨市场套利四种套利方式的实证检验,并分析了套利中所涉及的各种变量及相关参数对模型的影响,包括手续费、冲击成本设置、保证金比例等。我国有四大期货交易所:中国金融期货交易所(CFFEX中金所)、郑州商品交易所(CZCE郑商所)、大连商品交易所(DCE大商所)和上海期货交易所(SHFE上期所)。国内全部的金融期货均在中国金融期货交易所(中金所)交易,其中包括股指期货(指数期货)、国债期货、外汇期货(仿真,未正式上市)等。根据标的股指指数的不同,国内现可交易的股指期货品种有三种:其中沪深300股指期货早在2010年4月16日就已上市,而中证500指数期货和上证50指数期货于2015年4月16日才刚刚上市。在实证研究中,期现套利、跨期套利、跨市场套利的实证分析结果为能提供充分说服力,均选取上市时间较久的沪深300期指作为研究对象,而跨品种套利中因两种新期指上市时间较短,故采用三者对应的股指指数数据作为样本内数据,2015年4月16日以后三者的期货主力拼接数据作为样本外数据,分别对样本内和样本外数据构建套利策略来进行模拟交易,进而检验其可行性。实证结果表明:第一,各种套利方式的机会虽然较少,但可产生稳定收益,特别对跨期套利而言均值回复效应显著;第二,实证结果表明A股市场和许多新兴国家市场一样,具有风格动量效应,对于股指期货跨品种套利产生了一定影响;最后,股灾后受政策限制导致股指期货交投不活跃长期持续贴水的状态对套利产生了不利的影响。
[Abstract]:This paper makes an empirical study on the performance of all kinds of arbitrage methods involved in stock index futures in the domestic market. After introducing the basic properties of three stock index futures and their corresponding index indices, the theoretical basis of various arbitrage methods is expounded. And using win financial terminal API to extract three kinds of domestic index data and corresponding futures contract market data and Matlab software to carry on the related research, including Alpha arbitrage, intertemporal arbitrage, The empirical test of four arbitrage modes of cross-variety arbitrage and cross-market arbitrage is carried out, and the effects of various variables involved in arbitrage and related parameters on the model are analyzed, including handling fee, impact cost setting, margin ratio and so on. There are four major futures exchanges in China: China Financial Futures Exchange (CFFEX China Gold Exchange), Zhengzhou Commodity Exchange (CZCE Zheng Shang Institute), Dalian Commodity Exchange (DCE) and Shanghai Futures Exchange (Shanghai Futures Exchange). All domestic financial futures are traded on the China Financial Futures Exchange (CIFE), including stock index futures (index futures), treasury bonds futures, foreign exchange futures (simulation, not officially listed) and so on. According to the difference of the underlying stock index, there are three kinds of stock index futures that can be traded in China: the Shanghai and Shenzhen 300 stock index futures have been listed as early as April 16, 2010. China 500 index futures and Shanghai 50 index futures on April 16, 2015 just listed. In the empirical research, the empirical analysis results of current arbitrage, intertemporal arbitrage and cross-market arbitrage can provide sufficient persuasion. In cross-variety arbitrage, because the two new futures indexes have a short time to market, the index data corresponding to the three indexes are used as data within the sample, and the main splicing data of the three futures after April 16, 2015, are used as the data outside the sample. In order to test its feasibility, we construct arbitrage strategy for intra-sample and out-of-sample data to simulate the transaction. The empirical results show that: first, although the opportunities of various arbitrage methods are relatively small, they can produce stable returns, especially for cross-arbitrage, the average recovery effect is significant; second, the empirical results show that A share market is the same as many emerging markets. Has the style momentum effect, has the certain influence to the stock index futures cross variety arbitrage; finally, after the stock disaster by the policy restriction causes the stock index futures trading inactive long-term sustained discount condition to the arbitrage had the negative influence.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F224;F724.5

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