我国上证50ETF基金套利策略案例分析
发布时间：2018-08-27 19:01
【摘要】：在复杂多变的证券市场中,巨大的风险蕴含着巨大的收益,投资者努力追求稳定的复合收益是证券市场不变的规律。ETF基金在我国不断的推出,做空机制在证券市场的实行,使得我国的证券市场出现更多样化的交易机制,市场的变化更加复杂多样,套利交易的可行使得ETF市场在我国迅速的发展。最近几年来,ETF市场在我国资本市场的的成长速度的十分快速,ETF市场在其数量方面有了大幅增长而且其种类的有大幅增加。ETF凭借其特殊的优势在套利交易方面具有广大的市场。最初,投资者一般通过进行期现套利交易活动进行风险的控制,在ETF融资融券机制出现之后,ETF投资市场迅速吸引了大量投资者。伴随着ETF融资融券制度的不断发展,投资者在金融衍生品市场上进行套利交易的手段越来越多。本文第一部分首先对ETF进行概述,对ETF的定义及发展历程有一个全面认识,进而了解ETF基金的功能、特点及其衍生品。第二部分进行案例介绍,主要以上证50ETF期现套利策略为基准举出案例。并着重对通过对上证50ETF的概念、功能特点及发展历程进行了全面介绍。并对ETF的操作流程进行了描述,将ETF的套利策略分为风险的套利策略和无风险套利策略,并对其交易机制进行了描述。第三部分主要对案例进行了分析,通过比较分析的方法对无风险套利策略和存在风险的套利策略进行比较分析,并注重对期现套利策略进行了分析,并进行了模拟交易,通过对比和定量分析得出自己的结论。
[Abstract]:In the complex and changeable securities market, the huge risk contains huge income, the investors strive to pursue the stable compound income is the constant rule of the securities market .ETF fund is launched continuously in our country, and the short selling mechanism is implemented in the securities market. It makes the securities market of our country appear more diversified trading mechanism, the change of market is more complex and diverse, and the feasibility of arbitrage trade makes the ETF market develop rapidly in our country. In recent years, the growth rate of ETF market in China's capital market is very fast. The ETF market has greatly increased in number and its kinds have increased greatly. ETF has a broad market in arbitrage trading because of its special advantages. At first, investors usually carry on the risk control by carrying on the current arbitrage trading activity. After the emergence of the ETF margin financing mechanism, the ETFs investment market attracts a large number of investors rapidly. With the development of ETF margin financing system, there are more and more ways for investors to carry out arbitrage trading in financial derivatives market. The first part of this paper gives an overview of ETF, gives a comprehensive understanding of the definition and development of ETF, and then understands the functions, characteristics and derivatives of ETF funds. The second part introduces the case, mainly based on the current arbitrage strategy of 50ETF period of Shanghai Stock Exchange. The concept, function and development course of 50ETF are introduced in detail. The operation process of ETF is described. The arbitrage strategy of ETF is divided into risk-arbitrage strategy and risk-free arbitrage strategy, and its trading mechanism is described. The third part mainly analyzes the case, compares the risk-free arbitrage strategy and the risk-free arbitrage strategy through the comparative analysis method, and focuses on the analysis of the current arbitrage strategy, and carries on the simulation transaction. Through comparison and quantitative analysis, we draw our own conclusion.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
[Abstract]:In the complex and changeable securities market, the huge risk contains huge income, the investors strive to pursue the stable compound income is the constant rule of the securities market .ETF fund is launched continuously in our country, and the short selling mechanism is implemented in the securities market. It makes the securities market of our country appear more diversified trading mechanism, the change of market is more complex and diverse, and the feasibility of arbitrage trade makes the ETF market develop rapidly in our country. In recent years, the growth rate of ETF market in China's capital market is very fast. The ETF market has greatly increased in number and its kinds have increased greatly. ETF has a broad market in arbitrage trading because of its special advantages. At first, investors usually carry on the risk control by carrying on the current arbitrage trading activity. After the emergence of the ETF margin financing mechanism, the ETFs investment market attracts a large number of investors rapidly. With the development of ETF margin financing system, there are more and more ways for investors to carry out arbitrage trading in financial derivatives market. The first part of this paper gives an overview of ETF, gives a comprehensive understanding of the definition and development of ETF, and then understands the functions, characteristics and derivatives of ETF funds. The second part introduces the case, mainly based on the current arbitrage strategy of 50ETF period of Shanghai Stock Exchange. The concept, function and development course of 50ETF are introduced in detail. The operation process of ETF is described. The arbitrage strategy of ETF is divided into risk-arbitrage strategy and risk-free arbitrage strategy, and its trading mechanism is described. The third part mainly analyzes the case, compares the risk-free arbitrage strategy and the risk-free arbitrage strategy through the comparative analysis method, and focuses on the analysis of the current arbitrage strategy, and carries on the simulation transaction. Through comparison and quantitative analysis, we draw our own conclusion.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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