BOCI公司期现对冲套利策略研究

发布时间：2018-05-17 04:04

本文选题：股指期货 + 套利　；参考：《兰州理工大学》2014年硕士论文

【摘要】：2010年4月16日股指期货在中国金融期货交易所上市宣告我国金融市场真正步入做空时代,套利、对冲、量化交易开始大行其道。尽管当前我国股指期货品种单一,但成长迅速,成交量、持仓量稳步提升,机构套保、套利诉求日趋强烈,投资者结构逐步优化。面对如此大环境,本文通过借鉴国外研究成果及经验对我国股指期货进行了深入研究,并以此研究成果指导我们的投资决策获到了不错的收益。首先,本文引用GS模型考证了我国股指期货市场的价格发现功能,实证结果表明过去4年内股指期货并未取代现货市场成为决定沪深300指数走向的主导者。这说明我国股指期货交易依旧有待进一步成熟,而市场投机氛围较浓,机构交易者比重过低可能是重要影响因素。不过,市场不成熟也从某种程度上表明股指期货套利等非交易策略仍有较为广阔的发展空间。其次,本文对股指期货与现货每日收益率进行描述性统计,结果显示期现货市场都具有尖峰特征,收益率也都围绕着0上下波动,并且都不符合正态分布,然而最值数据表明期货市场相对现货市场的波动幅度更大。不过经过对比分析同期美国标普500指数的期现货市场发现,中美股指期货市场特征基本一致。再次,本文从持有成本角度(引入资金成本、交易成本、冲击成本、红利等)对我国股指期货上市以来的套利情况进一步跟踪研究,结果表明2010-2011年我国股指期货市场无风险期现套利机会较多、收益率较为理想,特别是2010年全年套利收益超过12%。不过进入2012年以后股指期现套利已不多见,即便出现套利机会也并不容易把握,我们的跟踪数据显示2012-2013年套利收益率已经下滑至不足5%,这一收益率水平已经接近市场无风险利率。最后,本文借鉴投资组合理论、CAPM模型、多因子模型研究股指期货对冲交易。研究结果表明,欧美成熟市场较为成功的市场因子在我国股指期货对冲交易中存在水土不服的现象。进而本文对大量市场因子进行跟踪研究,利用打分机制选择股票组合,再模拟跟踪组合的收益状况,并且从中选择较为合适的因子。本文对所选组合做进一步模拟交易,结果表明对冲策略可以很好的化解市场系统性风险,模拟投资收益十分稳定、回撤较小,在仅持有半仓的情景下年化收益率超过8%。总的来讲,本文的研究成果对我们进一步的投资交易奠定了坚实的基础,也为我们发行绝对收益产品、满足投资者低风险的诉求提供了有效的借鉴意义。不过,研究过程中依旧碰到不少问题,比如股票组合下单的即时性问题、股票组合的调仓频率以及如何把握股指期货贴水等都是值得进一步深究。
[Abstract]:The listing of stock index futures in China's financial futures exchange on April 16, 2010 declares that China's financial market has really stepped into an era of shorting, arbitrage, hedging, and quantitative trading. Although the stock index futures in our country have a single variety at present, they are growing rapidly, the volume of trading volume and positions are rising steadily, the demands of institutional arbitrage and arbitrage are becoming more and more intense, and the structure of investors is gradually optimized. In the face of such a great environment, this paper makes an in-depth study of stock index futures in our country by referring to foreign research results and experiences, and makes a good profit from the research results to guide our investment decisions. First of all, this paper uses GS model to verify the price discovery function of stock index futures market in China. The empirical results show that stock index futures have not replaced the spot market as the dominant determinants of the Shanghai and Shenzhen 300 index in the past four years. This indicates that China's stock index futures trading still needs to be further mature, and the market speculative atmosphere is strong, and the low proportion of institutional traders may be an important influencing factor. However, the immature market also shows that non-trading strategies such as arbitrage of stock index futures still have broad scope for development. Secondly, this paper carries on the descriptive statistics to the stock index futures and the spot daily rate of return, the result shows that the spot market in the period has the peak characteristic, the return rate also fluctuates around 0, and does not accord with the normal distribution. However, the best data show that the futures market is more volatile than the spot market. However, a comparative analysis of the spot market of the S & P 500 over the same period found that the characteristics of the Chinese and U.S. stock index futures markets were basically the same. Thirdly, from the point of view of holding cost (introducing capital cost, transaction cost, impact cost, dividend and so on), this paper further tracks and studies the arbitrage situation of stock index futures in China since the listing of stock index futures. The results show that there are more opportunities for risk-free arbitrage in China's stock index futures market in 2010-2011, and the yield is more ideal, especially for the whole year of 2010, when the arbitrage yield exceeds 12. But now arbitrage in the stock index period after 2012 is not common, and even if arbitrage opportunities appear, it is not easy to grasp. Our tracking data show that the 2012-2013 arbitrage rate has fallen to less than 5 percent, which is close to the market risk free rate. Finally, this paper studies hedge trading of stock index futures based on CAPM model and multi-factor model. The results show that the market factors which are more successful in the mature markets of Europe and America are difficult to accept in the hedging of stock index futures in China. Then, this paper studies a large number of market factors, using the scoring mechanism to select the stock portfolio, and then simulate the earnings of the tracking portfolio, and select a more appropriate factor. The result shows that the hedge strategy can resolve the market systemic risk very well, the simulated investment return is very stable, the retreat is small, and the annual return is more than 8% under the condition of holding only half position. In general, the research results of this paper lay a solid foundation for our further investment transactions, but also provide an effective reference for us to issue absolute income products and meet the demand of investors' low risk. However, there are still many problems in the research process, such as the instantaneity of stock portfolio issuing orders, the frequency of stock portfolio adjustment and how to grasp the discount of stock index futures are all worthy of further study.
【学位授予单位】：兰州理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F832.39

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