本文選題：滬深300股指期貨 + ETF基金　； 參考：《河北師范大學(xué)》2017年碩士論文

【摘要】：2010年4月,滬深300股指期貨在中國(guó)金融期貨交易所推出,這使得滬深300指數(shù)的成份股更受市場(chǎng)關(guān)注,其戰(zhàn)略作用也得到提升。滬深300股指期貨是我國(guó)推出的首支金融期貨。股指期貨不僅具有套期保值、價(jià)格發(fā)現(xiàn)的功能,除此之外,還具有套利、投機(jī)功能。一個(gè)健全的股市,對(duì)于融資者來(lái)說(shuō)可以起到資源優(yōu)化配置的功能,對(duì)于投資者來(lái)說(shuō),可以起到資產(chǎn)保值增值的功能。我國(guó)證券市場(chǎng)在股指期貨推出之前,只是一個(gè)大眾投機(jī)的場(chǎng)所,投資者所獲得的投資收益遠(yuǎn)遠(yuǎn)低于投資者投機(jī)所獲得的股票價(jià)差,股市波動(dòng)較大,整個(gè)基礎(chǔ)性建設(shè)尚未完善,風(fēng)險(xiǎn)管理只是空談。而滬深300股指期貨的推出,為投資者規(guī)避風(fēng)險(xiǎn)提供了工具。在2010年之前有關(guān)股指期貨期現(xiàn)套利的研究都是利用股指期貨的仿真數(shù)據(jù),通過(guò)研究發(fā)現(xiàn)股指期貨仿真期現(xiàn)套利存在諸多機(jī)會(huì)。滬深300股指期貨的推出為利用股指期貨真實(shí)數(shù)據(jù)進(jìn)行期現(xiàn)套利分析提供了可能。本文在分析滬深300股指期貨期現(xiàn)套利時(shí),首先,通過(guò)100ETF、180ETF和300ETF來(lái)復(fù)制滬深300現(xiàn)貨指數(shù),對(duì)這3三只ETF與滬深300現(xiàn)貨指數(shù)進(jìn)行相關(guān)性分析和協(xié)整分析,得出100ETF、180ETF和300ETF能夠很好地復(fù)制滬深300現(xiàn)貨指數(shù);其次,以ETF模擬滬深300現(xiàn)貨指數(shù)的跟蹤誤差最小作為指標(biāo),通過(guò)規(guī)劃求解得到ETF組合的合理權(quán)重,并且以此權(quán)重對(duì)滬深300現(xiàn)貨指數(shù)進(jìn)行復(fù)制;最后,構(gòu)建出的ETF組合與滬深300股指期貨合約進(jìn)行套利分析,通過(guò)設(shè)置合理的參數(shù),得到滬深300股指期貨期現(xiàn)套利的無(wú)套利區(qū)間和上下限閥值,可以發(fā)現(xiàn)國(guó)內(nèi)金融期貨市場(chǎng)上存在較多的套利機(jī)會(huì),市場(chǎng)并不是完全有效的。通過(guò)對(duì)滬深300股指期貨期現(xiàn)套利的結(jié)果進(jìn)行分析,計(jì)算其年化收益率、夏普比率和累計(jì)收益率曲線,分析其收益情況,以供投資者進(jìn)行參考。在分析中,我們考慮ETF允許做空和不允許做空的情況,相對(duì)于ETF不允許做空的情況,發(fā)現(xiàn)ETF允許做空時(shí)的累計(jì)收益率和年化收益率更高�；诖丝梢钥紤]放開開放式基金市場(chǎng)上的諸多限制,充分發(fā)揮股指期貨的套期保值和價(jià)格發(fā)現(xiàn)功能。這樣,不但發(fā)揮了股指期貨的避險(xiǎn)功能,而且,也使得期現(xiàn)市場(chǎng)得以保持一種穩(wěn)定的長(zhǎng)期均衡關(guān)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.
【學(xué)位授予單位】：河北師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F724.5

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