【作者】 叶健华；

【导师】 张忠桢；

【作者基本信息】 武汉理工大学 ， 管理科学与工程， 2002， 硕士

【摘要】 近年米，随着我国证券市场的迅速发展，股指期货市场呼之欲出。“工欲善其事，必先利其器”，投资者只有充分了解这个市场，才能在未来的投资活动中充分利用这一交易工具来规避风险或者获得超常的投资收益，也才能在未来更加激烈的市场竞争中立于不败之地。目前，我国规范的证券投资基金已有五十家，华安创新、南方稳健、华夏成长、国泰金鹰增长和鹏华行业成长五只开放式基金相继问世，国内各证券公司经过新一轮的增资扩股，资本实力进一步增强，1999下半年以来我国保险资金间接入市，三类企业可以有条件地进入股市，今后社会保障和养老基金也将逐步进入资本市场，这些因素使得机构投资者得到了超常规的发展。在股指期货推出的初始阶段，市场的参与者主要是机构投资者，因此对于机构投资者而言，了解并掌握股指期货的交易策略就显得尤为重要和紧迫。 本文在论述股指期货的套期保值、套利和投机三大基本交易策略的基础上，探讨了股指期货的其他一些重要的投资策略，如投资组合保险、资产配置、构造指数化投资组合以及图利策略等。对于套期保值策略，本文主要讨论了套期保值的基本原理、套期保值比率的确定以及不完全的套期保值策略。对于指数套利交易策略，本文在合理假设的前提下从套利的一般定义出发，得出了无套利条件，即股指期货的定价模型，并对其他一些常见的定价模型进行了解释，然后利用这一模型讨论了套利交易的过程。基于投资组合保险策略的复杂性，本文在介绍以股票指数看跌期权为基础的投资组合保险原理的基础上，探讨了如何运用股指期货构造合成看跌期权的方法。由于股指期货交易具有高度的复杂性和风险性，要进行股指期货交易，就必须充分重视股指期货交易的风险，因此最后笔者从机构投资者的角度，对股指期货交易风险的控制进行了研究，并从资金管理、操作策略以及组织机构三个方面提出了一些建议。更多还原

【Abstract】 In recent years,with the quick development of our country’s stock market,the stock index futures market is to be vividly portrayed." Better tools make good work",the investor only fully understands the market,he can fully use the tool to avoid the risk or get excess returns from investment in future,and can succeed in the coming increasingly fiercer rivalry. So far,there are fifty standard security portfolio funds in our country;three open-end funds have come out successively since 2001;After many domestic security companies increase the share capital,their strength is enhanced further;the insurance funds have entered the stock market indirectly from the middle 1999 and three kinds of enterprises have entered the market conditionally;the social security and pension fund will enter the capital market step by step,all these factors make the institutional investors develop over the normal speed. At the initial stage of the index futures market,the institutional investors are the main participants,therefore it’s very important and urgent for them to understand and grasp the trading strategies of the stock index futures.Based on the discussion of the hedging strategy,the arbitraging strategy and the speculation strategy,this thesis studies some other important investment strategies,such as portfolio insurance,asset allocation,indexing and spreading strategy. As for the hedging strategy,this thesis mainly discusses its principle,the hedge ratio and the imperfect hedging strategy. With the prerequisite of reasonable hypothesis,the author starts from the general definition of the arbitrage ,obtains the no-arbitraging condition,namely the pricing model of the stock index futures,explains the other pricing models,and discusses the process of the index arbitrage with the model. After the introduction of the principle of portfolio insurance,which is based on the stock index put option;this thesis discusses how to create synthetic put option with the stock index futures. Because of the complexity and the risk of the stock index futures trade,the investor should attach importance to its risk. Therefore the author makes a study of the control of the index futures trade risk from the point of the institutional investors finally,and propose some suggestion from the money management,the operation strategy and the organization structure.更多还原