【摘要】：股指期貨是以股票價(jià)格指數(shù)為交易標(biāo)的的標(biāo)準(zhǔn)化期貨合約。滬深300股指期貨的推出具有非常重要的實(shí)際意義，它促進(jìn)中國(guó)資本市場(chǎng)的成熟及金融產(chǎn)品的多元化，揭開中國(guó)金融市場(chǎng)的新篇章。借此契機(jī)，本文首先簡(jiǎn)要概述股指期貨產(chǎn)生的背景和基本情況，，對(duì)國(guó)內(nèi)外股指期貨進(jìn)程和我國(guó)滬深300股指期貨合約進(jìn)行簡(jiǎn)單介紹，之后重點(diǎn)分析了alpha套利交易策略，并將“資金推動(dòng)型選股”的思路融入到alpha套利策略中，提出“在我國(guó)，資金推動(dòng)型的現(xiàn)貨組合能夠獲得更大的正alpha收益”這一全新設(shè)想，并就這一設(shè)想，將資金推動(dòng)型股票組合與滬深300股指期貨的實(shí)際收益數(shù)據(jù)，進(jìn)行了分析和實(shí)證檢驗(yàn)。實(shí)證結(jié)果基本證實(shí)了資金推動(dòng)型股票組合與滬深300股指期貨之間alpha策略期現(xiàn)套利的有效性。 本文的研究重點(diǎn)在現(xiàn)貨頭寸的模擬構(gòu)建這個(gè)期現(xiàn)套利的核心問題上面。由于我國(guó)A股市場(chǎng)的規(guī)模較小，容易受到優(yōu)勢(shì)資金的影響，走勢(shì)很大程度上取決于市場(chǎng)投資者的資金凈流入，在過去以及今后很長(zhǎng)一段時(shí)間內(nèi)都屬于一個(gè)資金推動(dòng)型的單邊做多市場(chǎng)。根據(jù)這一特點(diǎn)，文章首次提出了資金推動(dòng)型股市Alpha套利模型構(gòu)建法，設(shè)置了四項(xiàng)描述和五大條件來篩選資金推動(dòng)型強(qiáng)勢(shì)股作為現(xiàn)貨組合，并對(duì)現(xiàn)貨組合和滬深300股指期貨收益進(jìn)行必要的優(yōu)化修正和實(shí)證檢驗(yàn)。實(shí)證結(jié)果證實(shí)了資金推動(dòng)型選股組合有高于同期滬深300指數(shù)的表現(xiàn)，從而獲得正alpha值，揭示了滬深300期現(xiàn)套利機(jī)會(huì)的存在。 在對(duì)以上實(shí)證分析的結(jié)果進(jìn)行總結(jié)以后，針對(duì)當(dāng)前我國(guó)股市的現(xiàn)狀，文章對(duì)未來滬深300股指期貨的真實(shí)套利提出了一些建議和展望。雖然滬深300股指期貨的上市歷經(jīng)波折且交易規(guī)則尚不完善，但其未來成為套利市場(chǎng)的主要品種已是不爭(zhēng)的事實(shí)。本文的目的是給未來滬深300股指期貨的套利提供一定的指導(dǎo)及借鑒。
[Abstract]:Stock index futures is a standardized futures contract with stock price index as its trading target. The introduction of Shanghai and Shenzhen 300 stock index futures is of great practical significance. It promotes the maturity of China's capital market and the diversification of financial products, and opens a new chapter in China's financial market. Taking this opportunity, this paper first briefly outlines the background and basic situation of stock index futures, introduces the process of stock index futures both at home and abroad and China's Shanghai and Shenzhen 300 stock index futures contracts, and then focuses on the analysis of alpha arbitrage trading strategy. The idea of "fund driven stock selection" is incorporated into the alpha arbitrage strategy, and a new idea that "in our country, the cash portfolio of the fund driven type can obtain a greater positive alpha return" is put forward, and on the basis of this assumption, The paper analyzes and tests the actual income data of CSI 300 stock index futures. The empirical results confirm the effectiveness of alpha strategy arbitrage between the capital-driven stock portfolio and the CSI 300 stock index futures. This paper focuses on the simulation of spot position to construct the core issue of arbitrage in this period. As the size of China's A-share market is small and vulnerable to the influence of superior funds, the trend depends to a large extent on the net inflow of funds from market investors. In the past, and for a long time to come, belong to a fund-driven unilateral long market. According to this characteristic, the paper first puts forward the Alpha arbitrage model construction method of the capital-driven stock market, and sets up four descriptions and five conditions to select the strong capital-driven stocks as spot portfolio. And the spot portfolio and the Shanghai and Shenzhen 300 stock index futures income necessary optimization correction and empirical test. The empirical results confirm that the combination of fund driven stock selection has higher performance than the Shanghai and Shenzhen 300 index in the same period, thus obtaining the positive alpha value, which reveals the existence of the current arbitrage opportunity in the Shanghai and Shenzhen 300 period. After summing up the results of the above empirical analysis, in view of the current situation of China's stock market, this paper puts forward some suggestions and prospects for the future real arbitrage of Shanghai and Shenzhen 300 stock index futures. Although the listing of Shanghai and Shenzhen 300 stock index futures has experienced twists and turns and the trading rules are not perfect, it is an indisputable fact that it will become the main variety of arbitrage market in the future. The purpose of this paper is to provide some guidance and reference for arbitrage of Shanghai and Shenzhen 300 stock index futures.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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本文編號(hào)：2249937