我国股指期货市场震荡期内的套利分析

发布时间：2018-06-06 00:51

本文选题：股指期货 + 震荡期　；参考：《吉林大学》2017年硕士论文

【摘要】：股指期货套利分析一直以来是对股指期货市场和产品相关分析的重点领域之一。中金所在2015年4月16日正式向市场推出了中证500指数期货和上证50指数期货,这不仅标志着我国股指期货市场从单一品种市场转化为多品种市场,还恰巧在时间点上适逢我国股票市场的快速上扬期;由此,在2015年的市场震荡期内,股指期货的套利交易和投机性成为了热点话题之一。如果聚焦于2015年的市场震荡期,也许可以发现一些除去高频量化交易之外的期现套利空间;或又可利用三个不同的期货品种,尤其是指数构成个股差异较大的中证500指数期货和上证50指数期货进行跨品种套利;这两种套利模式构成了本文进行股指期货市场套利研究的两大脉络。除此之外,2015年市场的震荡期同样也是市场八九年以来的大热期,中小投资者的参与程度较高,那么对于历来是机构参与者主导的股指期货市场来说,又是否存在适宜中小投资者参与套利的机会与空间,从这个问题出发,本文更多从不具备程式化交易条件的中小投资者角度出发来进行数据选取并切入研究。具体来说,为满足跨品种套利的要求,选取2015年4月16日为研究区间的起始点,另由于2015年9月时受政策影响,股指期货市场失去流动性,因此选取1508合约交割日8月21日为研究区间终止点,期间共95个交易日;此外,在数据频率方面,一方面区别于采用程式化交易的“短平快”,另一方面从中小投资者角度出发,余出一定人为反应时间,将数据指标细分到30分钟水平,即总共选取720组数据。对于期现套利空间的构建,采用CornellFrench的持有成本理论为基础,以时间为横轴,指数现货点位价格为基准,指数期货对现货的升贴水走势情况为纵轴绘制三组期现波动图,并以此为基础在纵轴上进行套利成本与误差调整,用水平线简单直观地完成套利空间的构建;持有成本利率选取同期7日回购利率,股息收益采用2014年度A股个股平均股息率,由此推算出期货理论价格;交易成本由期货现货交易中涉及的单双边税费逐项计算加和而得;冲击成本以及拟合误差两项从以往沪深300相关研究中选取接近30分钟频率的数据,进行合理调整,并在合理范围中取较高数值,以求贴合中小投资者套利条件,构造较为“迟钝”的套利空间,体现最为“迟钝”的套利机会。以此方法分别得到了沪深300、中证500、上证50的期现套利空间图,正反向套利机会出现的时机符合相关理论预期。在跨品种套利方面,通过对IF、IC、IH近月合约30分钟频率数据作图、求标准差和求期现间水位均值等方式,得出在震荡期内对市场敏感度IC,从而尝试构建IC、IH近月合约的跨品种套利组合,在综合考虑了单张合约价值,市场扬挫走向后,建立主要以IC近月合约为套利仓,双倍IH近月合约为对冲仓的跨品种套利组合。在震荡期内进行收益检测后表明,虽然在不同操作思路下对冲仓都面临着一定程度的损失,但组合整体上,尤其在市场上涨阶段中能得到较稳健的套利收益,是贴合中小投资者操作水平和规模的套利策略。最后,虽然2015年震荡期内的市场表现是极特殊的个例,并且在2015年9月的限制政策出台后我国股指期货市场瞬间便失去了高流动性,然而期现套利空间的构建方法以及对跨品种套利策略的探究依然具有借鉴意义。此外,随着在2017年一二季度我国股指期货市场松绑逐渐开始,可以预见在未来市场行情也将由持续一年多的低位拉锯转向活跃,利用股指期货的套利活动也将重获流动性,尤其对于中小投资者来说,在明确自身投资规模和操作限制的情况下,完全可以利用类似本文中的构建方法找到特定的套利策略。在文末,还针对市场发展以及投资者行为提出了些许建议。
[Abstract]:The analysis of stock index futures arbitrage has always been one of the key areas of stock index futures market and product correlation analysis. CICC launched the 500 index futures and Shanghai Stock 50 index futures formally to the market in April 16, 2015, which not only marks the transformation of China's stock index futures market from a single variety market to a multi variety market, but also happens to be a coincidence. At the time point, it is the fast rising period of China's stock market; thus, in the 2015 market shock period, the arbitrage and speculation of stock index futures have become one of the hot topics. If we focus on the market volatility in 2015, it may be possible to find some of the arbitrage space outside the high frequency quantitative transaction; or three The different futures varieties, especially the 500 index futures and Shanghai 50 index futures, which have a large difference in the stock index, make the cross variety arbitrage. The two arbitrage patterns constitute the two context of the study of the arbitrage in the stock index futures market. In addition, the market shock period in 2015 is also the largest market in the eight or nine year of the market. During the hot period, small and medium investors have a high degree of participation, so for the stock index futures market dominated by institutional participants, whether there is an opportunity and space suitable for small and medium investors to participate in arbitrage. From this point of view, this paper makes data selection from the point of view of small and medium investors who have never had a stylized transaction item. In order to meet the requirements of cross variety arbitrage, in order to meet the requirements of cross variety arbitrage, the starting point of the study interval was selected in April 16, 2015, and the index futures market lost liquidity because of the policy influence in September 2015. Therefore, the 1508 contract delivery day was selected as the final stop point of the study interval in August 21st, with a total of 95 trading days; in addition, the frequency of the data was in the frequency. On the one hand, on the one hand, it is different from the "short and fast" of the use of the stylized transaction. On the other hand, from the perspective of small and medium investors, the data index is subdivided into 30 minutes, that is, the data is divided into 720 sets of data. For the construction of the present arbitrage space, the cost theory of CornellFrench is used as the basis, time is based on the time. For the horizontal axis, the index spot position price is the benchmark, the index futures draw three sets of periodic fluctuation maps for the vertical axis of the spot, and on this basis, the arbitrage cost and the error adjustment are adjusted on the longitudinal axis, the arbitrage space is simply constructed with the horizontal line and the 7 day repo interest rate is selected for the same period and the dividend is selected. The income adopts the average dividend rate of A shares in the year of 2014, and then calculates the futures theoretical price; the transaction cost is calculated and summed up by the single bilateral tax and fee involved in the futures spot transaction; the impact cost and the fitting error two items which are close to the 30 minute frequency from the previous study on the Shanghai and Shenzhen 300 related studies are adjusted reasonably. In a reasonable range, a higher value is taken in order to fit the arbitrage conditions of small and medium investors, to construct a "slow" arbitrage space and to reflect the most "slow" arbitrage opportunities. This method obtains the spatial chart of the arbitrage of Shanghai and Shenzhen 300, Zhong Zheng 500 and Shanghai Shanghai 50 respectively. In the aspect of variety arbitrage, by drawing the 30 minute frequency data of IF, IC, and IH in the near month contract, we find the standard deviation and the mean value of the current water level, and obtain the market sensitivity IC in the period of concussion, so as to try to construct the cross variety arbitrage combination of the IC and IH contract in the near month, and make a comprehensive consideration of the value of the single contract and the trend of the market setback. With the IC near month contract as the arbitrage, double IH near month contract is a cross variety arbitrage portfolio. After the shock period, the earnings test shows that although the hedge bins are faced with a certain degree of loss under different operational ideas, the combination, especially in the market rising stage, can get a more robust arbitrage income. The arbitrage strategy of small investors operating level and scale. Finally, although the market performance in the 2015 concussion is a very special case, and the stock index futures market in China lost high liquidity in the moment after the introduction of the September 2015 limit policy, the construction method of the present arbitrage space and the inquiry into the cross variety arbitrage strategy In addition, with the gradual start of China's stock index futures market in the one or two quarter of 2017, it is foreseeable that the future market will also be turned active from low level sawing to more than one year, and the use of stock index futures will also regain liquidity, especially for small and medium investors. In the case of mode and operation constraints, a specific arbitrage strategy can be found by using the construction method similar to this article. At the end of the article, some suggestions are also made for market development and investor behavior.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5

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