發(fā)布時(shí)間：2018-06-06 00:51

  本文選題：股指期貨 + 震蕩期　； 參考：《吉林大學(xué)》2017年碩士論文

【摘要】：股指期貨套利分析一直以來(lái)是對(duì)股指期貨市場(chǎng)和產(chǎn)品相關(guān)分析的重點(diǎn)領(lǐng)域之一。中金所在2015年4月16日正式向市場(chǎng)推出了中證500指數(shù)期貨和上證50指數(shù)期貨,這不僅標(biāo)志著我國(guó)股指期貨市場(chǎng)從單一品種市場(chǎng)轉(zhuǎn)化為多品種市場(chǎng),還恰巧在時(shí)間點(diǎn)上適逢我國(guó)股票市場(chǎng)的快速上揚(yáng)期;由此,在2015年的市場(chǎng)震蕩期內(nèi),股指期貨的套利交易和投機(jī)性成為了熱點(diǎn)話題之一。如果聚焦于2015年的市場(chǎng)震蕩期,也許可以發(fā)現(xiàn)一些除去高頻量化交易之外的期現(xiàn)套利空間;或又可利用三個(gè)不同的期貨品種,尤其是指數(shù)構(gòu)成個(gè)股差異較大的中證500指數(shù)期貨和上證50指數(shù)期貨進(jìn)行跨品種套利;這兩種套利模式構(gòu)成了本文進(jìn)行股指期貨市場(chǎng)套利研究的兩大脈絡(luò)。除此之外,2015年市場(chǎng)的震蕩期同樣也是市場(chǎng)八九年以來(lái)的大熱期,中小投資者的參與程度較高,那么對(duì)于歷來(lái)是機(jī)構(gòu)參與者主導(dǎo)的股指期貨市場(chǎng)來(lái)說(shuō),又是否存在適宜中小投資者參與套利的機(jī)會(huì)與空間,從這個(gè)問(wèn)題出發(fā),本文更多從不具備程式化交易條件的中小投資者角度出發(fā)來(lái)進(jìn)行數(shù)據(jù)選取并切入研究。具體來(lái)說(shuō),為滿足跨品種套利的要求,選取2015年4月16日為研究區(qū)間的起始點(diǎn),另由于2015年9月時(shí)受政策影響,股指期貨市場(chǎng)失去流動(dòng)性,因此選取1508合約交割日8月21日為研究區(qū)間終止點(diǎn),期間共95個(gè)交易日;此外,在數(shù)據(jù)頻率方面,一方面區(qū)別于采用程式化交易的“短平快”,另一方面從中小投資者角度出發(fā),余出一定人為反應(yīng)時(shí)間,將數(shù)據(jù)指標(biāo)細(xì)分到30分鐘水平,即總共選取720組數(shù)據(jù)。對(duì)于期現(xiàn)套利空間的構(gòu)建,采用CornellFrench的持有成本理論為基礎(chǔ),以時(shí)間為橫軸,指數(shù)現(xiàn)貨點(diǎn)位價(jià)格為基準(zhǔn),指數(shù)期貨對(duì)現(xiàn)貨的升貼水走勢(shì)情況為縱軸繪制三組期現(xiàn)波動(dòng)圖,并以此為基礎(chǔ)在縱軸上進(jìn)行套利成本與誤差調(diào)整,用水平線簡(jiǎn)單直觀地完成套利空間的構(gòu)建;持有成本利率選取同期7日回購(gòu)利率,股息收益采用2014年度A股個(gè)股平均股息率,由此推算出期貨理論價(jià)格;交易成本由期貨現(xiàn)貨交易中涉及的單雙邊稅費(fèi)逐項(xiàng)計(jì)算加和而得;沖擊成本以及擬合誤差兩項(xiàng)從以往滬深300相關(guān)研究中選取接近30分鐘頻率的數(shù)據(jù),進(jìn)行合理調(diào)整,并在合理范圍中取較高數(shù)值,以求貼合中小投資者套利條件,構(gòu)造較為“遲鈍”的套利空間,體現(xiàn)最為“遲鈍”的套利機(jī)會(huì)。以此方法分別得到了滬深300、中證500、上證50的期現(xiàn)套利空間圖,正反向套利機(jī)會(huì)出現(xiàn)的時(shí)機(jī)符合相關(guān)理論預(yù)期。在跨品種套利方面,通過(guò)對(duì)IF、IC、IH近月合約30分鐘頻率數(shù)據(jù)作圖、求標(biāo)準(zhǔn)差和求期現(xiàn)間水位均值等方式,得出在震蕩期內(nèi)對(duì)市場(chǎng)敏感度IC,從而嘗試構(gòu)建IC、IH近月合約的跨品種套利組合,在綜合考慮了單張合約價(jià)值,市場(chǎng)揚(yáng)挫走向后,建立主要以IC近月合約為套利倉(cāng),雙倍IH近月合約為對(duì)沖倉(cāng)的跨品種套利組合。在震蕩期內(nèi)進(jìn)行收益檢測(cè)后表明,雖然在不同操作思路下對(duì)沖倉(cāng)都面臨著一定程度的損失,但組合整體上,尤其在市場(chǎng)上漲階段中能得到較穩(wěn)健的套利收益,是貼合中小投資者操作水平和規(guī)模的套利策略。最后,雖然2015年震蕩期內(nèi)的市場(chǎng)表現(xiàn)是極特殊的個(gè)例,并且在2015年9月的限制政策出臺(tái)后我國(guó)股指期貨市場(chǎng)瞬間便失去了高流動(dòng)性,然而期現(xiàn)套利空間的構(gòu)建方法以及對(duì)跨品種套利策略的探究依然具有借鑒意義。此外,隨著在2017年一二季度我國(guó)股指期貨市場(chǎng)松綁逐漸開(kāi)始,可以預(yù)見(jiàn)在未來(lái)市場(chǎng)行情也將由持續(xù)一年多的低位拉鋸轉(zhuǎn)向活躍,利用股指期貨的套利活動(dòng)也將重獲流動(dòng)性,尤其對(duì)于中小投資者來(lái)說(shuō),在明確自身投資規(guī)模和操作限制的情況下,完全可以利用類似本文中的構(gòu)建方法找到特定的套利策略。在文末,還針對(duì)市場(chǎng)發(fā)展以及投資者行為提出了些許建議。
[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.
【學(xué)位授予單位】：吉林大學(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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本文編號(hào)：1984235