基于回转交易的短期套利机会选择研究

发布时间：2018-01-30 05:47

本文关键词： 回转交易套利套利定价共同因素方差　出处：《东华大学》2015年硕士论文　论文类型：学位论文

【摘要】：随着我国股票市场的市场化程度加深，股票市场的短期波动是国内外学者关注的一个焦点。不同的交易机制带来的短期波动程度不同。自上海证券交易所和深圳证券交易所成立以来，我国股票市场的交易机制也在不断改进与发展中。我国股票市场回转交易经历了从开始的“T+1”到“T+0”最后又回归“T+1”。当日回转交易（T+0）是国际证券市场上普遍采用的证券交易制度，因此，研究当日回转交易下的我国股票市场短期波动有着重要的意义。随着投资者在股票市场套利的行为也越来越多，短期套利是投资者关注的热点问题。在套利方法上，国内外学者取得了大量的研究成果，从CAPM发展到APT是资产定价的进步，APT相对CAPM是一个很好的替代定价模型。多数学者对套利定价的研究视角都是因素的选择和因素的个数，致力于主成分分析、因素分析等因素提取的技术方法上的研究，对APT影响的因素到底是什么也没有给出明确的答案。对APT单因素的研究仅局限在单因素本身，忽略了单因素本身的方差对收益率的影响。本研究对传统的单因素套利定价模型进行了拓展，加入了共同因素的方差项，更加细化了证券资产收益率的生成过程。对于日内回转交易下的短线投资者进入市场套利的机会进行了检验，对短线套利者进入套利的行业提供了参考建议。本研究的研究思路主要表现在以下几点：首先，采用文献综述法，对国内外相关文献进行综述，并结合我国股市的现实交易机制的发展提出回转交易下的短期套利机会选择这个研究点。其次，对回转交易短期套利分析框架进行了梳理，从回转交易短期套利的基本原理和现实股票市场中的短期套利市场交易机制以及套利机会选择的一般方法三个方面进行梳理。然后，对沪深300指数的波动进行了描述性分析，从收盘价，收益率，振幅，涨跌幅序列四个方面进行统计分析，每个衡量短期波动的指标分别从均值，方差，偏度，峰度，QQ图进行描述。总结了沪深300指数的波动性特点。最后，结合单因素套利定价理论和沪深300股票指数短期波动描述构建基于共同因素方差项的套利定价模型，选取了22个行业的22只股票，上证指数和深圳成指的五分钟高频数据的收益率应用拓展的APT模型进行了实证分析，得出单只证券的收益率与共同因素收益率的偏差和方差存在线性关系，由于共同因素的偏差和方差产生的收益率与股票的交易成本和税收之和进行比较选择套利的机会，在选择套利机会的行业时，应选择对共同因素敏感性强的行业。
[Abstract]:With the deepening of China's stock market marketization. Short-term volatility of stock market is a focus of domestic and foreign scholars. Different trading mechanisms bring about different short-term volatility. Since the establishment of the Shanghai Stock Exchange and Shenzhen Stock Exchange. The trading mechanism of China's stock market is also improving and developing. China's stock market has experienced from the beginning of "T1" to "T _ 0" and back to "T _ 1". T0) is widely used in the international securities market. Therefore, it is of great significance to study the short-term volatility of China's stock market under the day-round trading. With the increasing behavior of investors in the stock market arbitrage, short-term arbitrage is a hot issue for investors. In the arbitrage method, domestic and foreign scholars have made a lot of research results. From CAPM to APT is the progress of asset pricing. Compared with CAPM, apt is a good alternative pricing model. Most scholars' perspective on arbitrage pricing is the choice of factors and the number of factors. Devotes to the principal component analysis, the factor analysis and so on factor extraction technical method research. There is no clear answer to the factors affecting APT. The study of APT single factor is confined to single factor itself, neglecting the influence of variance of single factor on yield. In this study, the traditional single-factor arbitrage pricing model is extended to include the variance of common factors. The paper examines the opportunities for short-term investors to enter the market arbitrage and provides some suggestions for short-term arbitrage to enter the industry of arbitrage. The main research ideas of this study are as follows: First of all, using the literature review method, to review the relevant literature at home and abroad, and combined with the development of the real trading mechanism of the stock market in China, put forward the short-term arbitrage trading opportunities under the choice of this research point. The short-term arbitrage analysis framework of slew trading is combed. This paper deals with the basic principle of short-term arbitrage and the mechanism of short-term arbitrage in the real stock market and the general methods of the choice of arbitrage opportunities. Then, the Shanghai and Shenzhen 300 index volatility is described, from the closing price, yield, amplitude, fluctuation sequence of four statistical analysis, each measure of short-term volatility from the mean. The variance, skewness and kurtosis are described by QQ chart. The volatility characteristics of CSI 300 index are summarized. Finally, combined with single-factor arbitrage pricing theory and short-term volatility description of Shanghai and Shenzhen 300 stock index, the arbitrage pricing model based on common factor variance is constructed, and 22 stocks in 22 industries are selected. The APT model is used to analyze the yield of Shanghai Stock Exchange Index and Shenzhen Composite Index. It is found that there is a linear relationship between the return rate of a single stock and the deviation and variance of the common factor rate of return. Because of the deviation and variance of common factors, the return rate is compared with the transaction cost and the sum of tax revenue of the stock to choose the arbitrage opportunity, when the industry chooses the arbitrage opportunity. Industries that are sensitive to common factors should be chosen.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.51

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