【作者】 吴军；

【导师】 谢赤；

【作者基本信息】 湖南大学 ， 工商管理， 2011， 硕士

【摘要】 随着沪深300股指期货的正式上市交易和融资融券业务的开展，中国金融市场及其衍生品市场出现了新的发展机遇。股指期货投资是金融衍生品领域的研究热点之一，股指期货在上市初期的套利交易也日渐引起学术界和业界的广泛关注。期现套利交易是沪深300股指期货上市初期主要的套利交易方式，该交易方式对实现股指期货的价格发现和稳定金融市场秩序的功能具有重要作用。传统的基于持有成本模型的股指期货期现套利方法难以准确迅速地捕获套利时点。为了使投资者能迅速地发现沪深300股指期货期现套利交易的机会，本文从股指期货及其现货的高频价格数据的角度，利用协整理论对股指期货合约与其现货间的关系进行了研究。本文首先对研究股指期货期现套利交易的模型方法及策略进行了总结，在分析了协整理论在金融衍生品交易中的应用之后对沪深300股指期货的期现套利机制进行了探讨。在此基础上本文分析了沪深300指数现货的构建方式并实证研究了沪深300指数期货和现货的协整关系。研究结果表明，上证180ETF和深证100ETF按0.695∶0.305的比例构造投资组合可以很好的模拟沪深300指数现货。同时还发现，沪深300股指期货当月主力合约与其现货的高频价格数据间存在协整关系且在股指期货推出初期期现基差较大，存在较多的套利机会。股指期货投资者运用此协整关系可以迅速发现期现基差，从而确定是否存在期现套利机会。以此为基础，本文运用上述得到的协整关系进行期现套利，得到的月度收益率为1.27%，取得了较好的投资效果。更多还原

【Abstract】 As China Securities Index(CSI)300index futures and Stock Lending andBorrowing were officialiy listed for trading, there appears new opportunity fordevelopment in chinese financial market and its derivatives market.The research onstock index futures’s investment has become one of the hottest research focuses infinancial derivatives market while arbitrage trading of stock index futures on the earlyperiod after listing has become the hot subject in academic circles and otherdepartments.The futures-spot arbitrage is the main transaction mode on the early periodafter listing for CSI300index futures, which will play a key role in realizing thefunction on price discovery and stable the order of financial market.The traditional strategy of futures-spot arbitrage based on cost-of-carry model isdifficult to catch the trading point accurately and quickly. In order to help investorscatch the trading opportunity of futures-spot arbitrage quickly, this paper uses theco-integration theory to discover the relationship between the stock index futures and itsspot based on the high-frequency data.In this paper,firstly I summarize the study on futures-spot arbitrage and its tradingstrategy, after analysing the application of co-integration theory in the finanacialderivatives’ trading, the mechanism of futures-spot arbitrge between CSI300’s futuresand its spot is discussed. Based above, the ways of constructing the CSI300’spot isdiscussed and the co-integration relationship is analysed by empirical research. Theempirical results indicate that when constructing the spot portfolio using SSE180ETFand SSE100ETF based on the propertion0.695∶0.305,the spot of CSI300indexfutures is simulated perfectly in this paper. At the same time the results also show thatthere exists co-integration relationship between the CSI300index futures and ETFPortfolio on the preliminary stage of CSI300index futures when there exists manyarbitrage opportunity.Based on the wrong pricing time, the relationship could be usedto dicover the arbitrage opportunity by investors. According to the model above, thefutures-spot arbitrage is carried out and a1.27yield rate in one month is achieved byconducting arbitrage on the basis of the received co-integration relationship.更多还原