国内证券市场Alpha套利策略实证研究

发布时间：2018-03-07 05:16

本文选题：Alpha套利策略　切入点：动量策略　出处：《对外经济贸易大学》2014年硕士论文　论文类型：学位论文

【摘要】：证券市场Alpha套利策略是指投资者买进基金或股票组合后，用股指期货或其他金融衍生品对冲掉投资组合的市场系统风险Beta，基于Beta中性原则进行套利的投资策略。根据国内证券市场的实际情况，本文对利用股指期货对冲的Alpha套利策略进行了实证研究，探讨了Alpha套利策略在国内证券市场上的实际操作价值。本文首先介绍了选题背景及意义，相关文献及Alpha套利策略的基础理论研究等内容。在Alpha套利策略实证部分，首先阐述了文中Alpha套利策略中的构造模式，基于国家战略性新兴产业规划的提出，本文在战略性新兴产业及现代服务业这个大致范围内，用Alpha动量策略进行选股并进行了Alpha套利策略的实证研究。由于国家战略性新兴产业规划是在2012年5月底正式提出，考虑到市场需要有个解读期和建仓期，本文采取了从2012年9月初到2014年6月底的共1年零9个月的相关证券实际交易数据，进行了实证检验，，取得了Alpha动量套利策略的成功。本文对于Alpha套利策略实证过程中出现的一些问题，进行了分析并提出了修正的具体措施，并对这些具体措施进一步应用到上述实证模型中，显示，能够取得更好的实战效果。本文还在同样的选股策略和同样的假设条件下，进行了可转移Alpha策略的实证研究，通过对比Alpha策略和可转移Alpha策略的收益情况，分析了两者在不同市场状态下的适应性。
[Abstract]:The Alpha arbitrage strategy in the stock market refers to investors buying funds or stock portfolios, Using stock index futures or other financial derivatives to hedge the market system risk of portfolio, carry out arbitrage investment strategy based on Beta neutral principle. This paper makes an empirical study on the Alpha arbitrage strategy of stock index futures hedging, and discusses the practical operational value of Alpha arbitrage strategy in the domestic securities market. This paper first introduces the background and significance of the topic, the relevant literature and the basic theory of Alpha arbitrage strategy, etc. In the empirical part of Alpha arbitrage strategy, the paper first describes the construction model of Alpha arbitrage strategy in this paper. Based on the proposal of the national strategic emerging industry planning, this paper is in the general scope of strategic emerging industry and modern service industry. Stock selection with Alpha momentum strategy and empirical research on Alpha arbitrage strategy are carried out. Since the national strategic emerging industry plan was formally put forward at the end of May 2012, considering that the market needs an interpretation period and a construction period, This paper takes the actual trading data of related securities from the beginning of 2012 to the end of June 2014 for one year and nine months, and carries out an empirical test. This paper analyzes some problems in the empirical process of Alpha arbitrage strategy, and puts forward some modified measures, and further applies these specific measures to the above empirical model. Show, can obtain better actual combat effect. Under the same stock selection strategy and the same assumptions, this paper makes an empirical study on the transferable Alpha strategy, and analyzes the adaptability of the two strategies under different market conditions by comparing the returns of the Alpha strategy and the transferable Alpha strategy.
【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】：2014
【分类号】：F832.51

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