沪深300股指期货期现套利分析

发布时间：2018-05-01 18:33

本文选题：沪深300股指期货 + ETF基金　；参考：《河北师范大学》2017年硕士论文

【摘要】：2010年4月,沪深300股指期货在中国金融期货交易所推出,这使得沪深300指数的成份股更受市场关注,其战略作用也得到提升。沪深300股指期货是我国推出的首支金融期货。股指期货不仅具有套期保值、价格发现的功能,除此之外,还具有套利、投机功能。一个健全的股市,对于融资者来说可以起到资源优化配置的功能,对于投资者来说,可以起到资产保值增值的功能。我国证券市场在股指期货推出之前,只是一个大众投机的场所,投资者所获得的投资收益远远低于投资者投机所获得的股票价差,股市波动较大,整个基础性建设尚未完善,风险管理只是空谈。而沪深300股指期货的推出,为投资者规避风险提供了工具。在2010年之前有关股指期货期现套利的研究都是利用股指期货的仿真数据,通过研究发现股指期货仿真期现套利存在诸多机会。沪深300股指期货的推出为利用股指期货真实数据进行期现套利分析提供了可能。本文在分析沪深300股指期货期现套利时,首先,通过100ETF、180ETF和300ETF来复制沪深300现货指数,对这3三只ETF与沪深300现货指数进行相关性分析和协整分析,得出100ETF、180ETF和300ETF能够很好地复制沪深300现货指数;其次,以ETF模拟沪深300现货指数的跟踪误差最小作为指标,通过规划求解得到ETF组合的合理权重,并且以此权重对沪深300现货指数进行复制;最后,构建出的ETF组合与沪深300股指期货合约进行套利分析,通过设置合理的参数,得到沪深300股指期货期现套利的无套利区间和上下限阀值,可以发现国内金融期货市场上存在较多的套利机会,市场并不是完全有效的。通过对沪深300股指期货期现套利的结果进行分析,计算其年化收益率、夏普比率和累计收益率曲线,分析其收益情况,以供投资者进行参考。在分析中,我们考虑ETF允许做空和不允许做空的情况,相对于ETF不允许做空的情况,发现ETF允许做空时的累计收益率和年化收益率更高。基于此可以考虑放开开放式基金市场上的诸多限制,充分发挥股指期货的套期保值和价格发现功能。这样,不但发挥了股指期货的避险功能,而且,也使得期现市场得以保持一种稳定的长期均衡关系。
[Abstract]:In April 2010, the Shanghai and Shenzhen 300 stock index futures were launched on the China Financial Futures Exchange, which made the Shanghai and Shenzhen 300 index more attractive to the market and enhanced its strategic role. Shanghai and Shenzhen 300 stock index futures are the first financial futures launched in China. Stock index futures have not only the function of hedging and price discovery, but also the functions of arbitrage and speculation. A sound stock market can play the function of optimizing the allocation of resources for the financiers, and for investors, it can play the function of maintaining and increasing the value of assets. Before the introduction of stock index futures, the stock market in our country was just a place for public speculation. The investment returns obtained by investors were far lower than the price difference of stocks obtained by investors' speculation. The stock market fluctuated greatly, and the whole basic construction was not yet perfect. Risk management is just empty talk. And Shanghai and Shenzhen 300 stock index futures launch, for investors to avoid risk to provide a tool. Before 2010, the research on stock index futures arbitrage is based on the simulation data of stock index futures, and it is found that there are a lot of opportunities in the simulation period of stock index futures arbitrage. The introduction of Shanghai and Shenzhen 300 stock index futures makes it possible to use real data of stock index futures to carry out arbitrage analysis. In this paper, we analyze the current arbitrage of Shanghai and Shenzhen 300 stock index futures. Firstly, we replicate the Shanghai and Shenzhen 300 spot index by 100ETFF180 ETF and 300ETF, and analyze the correlation and cointegration between these three ETF and CSI 300 spot index. It is concluded that 100ETF / 180ETF and 300ETF can copy the CSI 300 spot index very well. Secondly, with the minimum tracking error of ETF simulation CSI 300 spot index, the reasonable weight of ETF combination can be obtained by programming solution. And with this weight to replicate the Shanghai and Shenzhen 300 spot index; finally, the constructed ETF portfolio and Shanghai and Shenzhen 300 stock index futures contract arbitrage analysis, through setting reasonable parameters, We can find that there are more arbitrage opportunities in the domestic financial futures market and that the market is not completely effective by obtaining the current arbitrage range and the upper and lower bound threshold of the current arbitrage of the Shanghai and Shenzhen 300 stock index futures. By analyzing the results of current arbitrage in Shanghai and Shenzhen 300 stock index futures period, the annual yield, Sharp ratio and cumulative yield curve are calculated, and their returns are analyzed for the reference of investors. In the analysis, we consider the situation that ETF allows short and not allow short, and find that the cumulative rate of return and annualized rate of return of ETF allowed short is higher than that of ETF. Based on this, we can consider liberalizing many restrictions in the open-end fund market and giving full play to the hedging and price discovery functions of stock index futures. In this way, stock index futures not only play a safe haven function, but also make the present market maintain a stable long-term equilibrium relationship.
【学位授予单位】：河北师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5

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