沪深300股指期货套利研究
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摘要
2010年4月16号,沪深300股指期货正式在中国金融期货交易所挂牌上市交易。自此,国内市场股指期货交易拉开帷幕,首个交易日当天就引来了众多关注,预示着其必将成为我国资本市场最为重要的投资工具之一。在股指期货这一工具基础之上,投资者可以组建多种投资策略。对于风险承受能力一般且追求稳定收益的拥有大规模资金的机构投资者,股指期货为其提供了无风险套利的机会。作为全球最重要的金融衍生品之一,股指期货在国际市场上已经历了20余年的发展历程,国际市场的各类投资者对于此品种已是非常熟悉。而对于国内的投资者来说则相对陌生。本文是在国外研究的基础之上,结合中国国内现实情况对沪深300股指期货套利的整体研究。
本文首先简要介绍了股指期货套利的理论依据和作用。接着详细阐述了股指期货的四种套利策略,而且依据国内的实际情况,选择了具有实际可操作性的期现套利和跨期套利作为本文的研究对象。并在此基础上建立了加入交易成本后的无套利区间模型和成本定价模型,以这两个模型为依据,论述了交易策略的操作步骤和买卖时点选择的方法。
套利策略中期现套利的关键是构建跟踪目标指数的现货组合。构建的现货组合对目标指数的跟踪效果越好,则期现套利的套利风险就越小。因此对于期现套利,本文的研究重点在于现货组合构建方法的研究。笔者以股票和ETF基金为两种资产池选择现货组合,分别以完全复制法、市值抽样法、分层抽样法、逐步回归选择法和最小跟踪误差法计算组合权重。以2008年11月4号到2010年8月3号的日交易数据为基础进行实证分析。对比各组合的模拟误差,本文认为以逐步回归选择法计算的出权重的股票组合和三只ETF基金构建的组合的跟踪效果最好。
期现套利之后,本文研究了股指期货的跨期套利。跨期套利的具体策略有牛市套利策略、熊市套利策略和碟式套利策略。本文在具体介绍了这三种策略的操作步骤之后,对沪深300股指期货四个交割月份合约的交易量进行对比分析,依据市场冲击成本最小化的原则,得出以当月合约和次月合约为交易对象最为安全。以2010年4月16号到2010年9月10日的数据为基础,分别利用持有成本模型和协整模型进行了实证分析,从交易机会选择的灵敏度和成功率对两种方法进行了比较分析,发现两种方法各有千秋。首先,配对交易策略相对于基差交易策略更灵敏,可以抓住日内交易机会。其次,配对交易策略的成功率相对于基差交易策略的成功率更高。
套利交易是国际资本市场的主流,股指期货正式推出后,套利交易将是维护市场效率的重要力量,且能获取无风险利润。期望本文能对政策制订者以及从事股指期货套利的投资者提供科学的并有可操作性的参考意见。
On on April 16th 2010, the CSI 300 index futures officially listed trading in China's financial futures exchange. Since then, the domestic stock index future is trading for inaugural futurarc prize. It will become one of the most important investment tools in China's capital market. On the basis of stock index futures, investors could establish a variety of investment strategy. For risk to bear ability general and pursuit of steady benefits with large capital of institutional investors, stock index futures offer for its performance of risk arbitrage opportunities. On the background of current policy, arbitrage strategies of period now and cross period arbitrage are implemented. As the world's most important financial derivatives, stock index futures in the international market has experienced 20 advance years development course, the investors in international market are very familiar with it. For domestic investors, it is relatively unfamiliar. This paper is on the basis of the research abroad, combined with the reality of China's domestic constitution, arbitrage with CSI 300 future as a whole.
This paper firstly introduces the stock index futures arbitrage, the theoretical basis and function. Then elaborated on four arbitrage strategy, and its basis domestic actual situation chose feasible period now arbitrage and cross period arbitrage as the research object in the thesis. And on this basis, they build the join of transaction costs no-arbitrage interval model and cost pricing model, based on these two models, discusses the trading strategy operation step and selling point selection basis.
Arbitrage strategy metaphase is the key is to construct arbitrage target index spot combination. Constructing the spot combinations on target index of tracking the better, the period of arbitrage risk is smaller. Therefore, this article is for period arbitrage the research emphases are spot combination method of building research. The author shares and etfs fund for two of the asset pool choose spot combination, respectively by a complete copy method, market capitalization weight method, the stratified sampling method and tracking error method to calculate the minimum combination weights. According to the empirical analysis results after comparison, this paper argues that by stepwise regression method of calculating the weights of stock portfolio and the three ETF funds to build up the combination of tracking the best effect.
Now after a period of arbitrage, the article studies the stock index futures arbitrage across the stage. Cross period of arbitrage specific strategies that there is a bull market arbitrage strategy, bear arbitrage strategy and disc type arbitrage strategy. Specific introduced these three strategies after operation step to Shenzhen 300 index futures contract volume of four delivery month, according to market a comparative analysis of the impact of cost minimization principle analysis, and concluded that month contract and monthly contract for a transaction object is the safest. By 2010, April 16th 2010 September 10 data as the foundation, which use base poor trading methods and matching trade method, makes a positive analysis from trading opportunities choice of sensitivity and success rate of two methods were compared and analyzed, and found two methods is special. First of all, matching trading strategy relatively poor trading strategy well-alignment with sensitive, you can seize intra-day trading opportunities. Secondly, matching trading strategy success rate is relatively poor well-alignment trading strategy success rate is higher.
This paper to generalize the finally summarized, and for future research are proposed. The carry trade is the international capital market that the mainstream of stock index futures arbitrage trades after officially launched, maintaining the market efficiency will be the important strength, and can obtain risk-free profits. Expect this to policy-makers and engaging in futures arbitrage investors to provide scientific and operability reference opinions.
本文首先简要介绍了股指期货套利的理论依据和作用。接着详细阐述了股指期货的四种套利策略,而且依据国内的实际情况,选择了具有实际可操作性的期现套利和跨期套利作为本文的研究对象。并在此基础上建立了加入交易成本后的无套利区间模型和成本定价模型,以这两个模型为依据,论述了交易策略的操作步骤和买卖时点选择的方法。
套利策略中期现套利的关键是构建跟踪目标指数的现货组合。构建的现货组合对目标指数的跟踪效果越好,则期现套利的套利风险就越小。因此对于期现套利,本文的研究重点在于现货组合构建方法的研究。笔者以股票和ETF基金为两种资产池选择现货组合,分别以完全复制法、市值抽样法、分层抽样法、逐步回归选择法和最小跟踪误差法计算组合权重。以2008年11月4号到2010年8月3号的日交易数据为基础进行实证分析。对比各组合的模拟误差,本文认为以逐步回归选择法计算的出权重的股票组合和三只ETF基金构建的组合的跟踪效果最好。
期现套利之后,本文研究了股指期货的跨期套利。跨期套利的具体策略有牛市套利策略、熊市套利策略和碟式套利策略。本文在具体介绍了这三种策略的操作步骤之后,对沪深300股指期货四个交割月份合约的交易量进行对比分析,依据市场冲击成本最小化的原则,得出以当月合约和次月合约为交易对象最为安全。以2010年4月16号到2010年9月10日的数据为基础,分别利用持有成本模型和协整模型进行了实证分析,从交易机会选择的灵敏度和成功率对两种方法进行了比较分析,发现两种方法各有千秋。首先,配对交易策略相对于基差交易策略更灵敏,可以抓住日内交易机会。其次,配对交易策略的成功率相对于基差交易策略的成功率更高。
套利交易是国际资本市场的主流,股指期货正式推出后,套利交易将是维护市场效率的重要力量,且能获取无风险利润。期望本文能对政策制订者以及从事股指期货套利的投资者提供科学的并有可操作性的参考意见。
On on April 16th 2010, the CSI 300 index futures officially listed trading in China's financial futures exchange. Since then, the domestic stock index future is trading for inaugural futurarc prize. It will become one of the most important investment tools in China's capital market. On the basis of stock index futures, investors could establish a variety of investment strategy. For risk to bear ability general and pursuit of steady benefits with large capital of institutional investors, stock index futures offer for its performance of risk arbitrage opportunities. On the background of current policy, arbitrage strategies of period now and cross period arbitrage are implemented. As the world's most important financial derivatives, stock index futures in the international market has experienced 20 advance years development course, the investors in international market are very familiar with it. For domestic investors, it is relatively unfamiliar. This paper is on the basis of the research abroad, combined with the reality of China's domestic constitution, arbitrage with CSI 300 future as a whole.
This paper firstly introduces the stock index futures arbitrage, the theoretical basis and function. Then elaborated on four arbitrage strategy, and its basis domestic actual situation chose feasible period now arbitrage and cross period arbitrage as the research object in the thesis. And on this basis, they build the join of transaction costs no-arbitrage interval model and cost pricing model, based on these two models, discusses the trading strategy operation step and selling point selection basis.
Arbitrage strategy metaphase is the key is to construct arbitrage target index spot combination. Constructing the spot combinations on target index of tracking the better, the period of arbitrage risk is smaller. Therefore, this article is for period arbitrage the research emphases are spot combination method of building research. The author shares and etfs fund for two of the asset pool choose spot combination, respectively by a complete copy method, market capitalization weight method, the stratified sampling method and tracking error method to calculate the minimum combination weights. According to the empirical analysis results after comparison, this paper argues that by stepwise regression method of calculating the weights of stock portfolio and the three ETF funds to build up the combination of tracking the best effect.
Now after a period of arbitrage, the article studies the stock index futures arbitrage across the stage. Cross period of arbitrage specific strategies that there is a bull market arbitrage strategy, bear arbitrage strategy and disc type arbitrage strategy. Specific introduced these three strategies after operation step to Shenzhen 300 index futures contract volume of four delivery month, according to market a comparative analysis of the impact of cost minimization principle analysis, and concluded that month contract and monthly contract for a transaction object is the safest. By 2010, April 16th 2010 September 10 data as the foundation, which use base poor trading methods and matching trade method, makes a positive analysis from trading opportunities choice of sensitivity and success rate of two methods were compared and analyzed, and found two methods is special. First of all, matching trading strategy relatively poor trading strategy well-alignment with sensitive, you can seize intra-day trading opportunities. Secondly, matching trading strategy success rate is relatively poor well-alignment trading strategy success rate is higher.
This paper to generalize the finally summarized, and for future research are proposed. The carry trade is the international capital market that the mainstream of stock index futures arbitrage trades after officially launched, maintaining the market efficiency will be the important strength, and can obtain risk-free profits. Expect this to policy-makers and engaging in futures arbitrage investors to provide scientific and operability reference opinions.
引文
①曹国海.中国机构投资者股指期货套利策略选择性研究[D].2009.12-13.
①股指期货期现套利及其作用[EB/OL].http://www.cffex.com.cn/tzzfw/bwbd/jczs/201001/t20100129_7225.html.
②周婕.构建股指期货套利组合的研究[D].2008.5-6。
①王伟峰刘阳.股指期货的跨期套利研究—模拟股指市场实证金融研究[J].金融研究,2007,(12)：239.
①曹国海.中国机构投资者股指期货套利策略选择性研究[D].2009.23.
①克里斯·布鲁克斯.金融计量经济学[M].第1版成都：西南财经大学出版社,2005.327-347.
[1]曹国海.中国机构投资者股指期货套利策略选择性研究[D].2009.12-13.
[2]周婕.构建股指期货套利组合的研究[D].2008.5-6.
[3]王伟峰、刘阳.股指期货的跨期套利研究—模拟股指市场实证金融研究[J].金融研究,2007(12)：239.
[4]邹宏元.金融计量经济学导论[M].第2版.成都：西南财经大学出版社,2005.327-374.
[5]谢中华.MATLAB统计分析与应用：40个案例分析[M].第1版.北京：北京航空航天大学出版社,2010.
[6]张晓峒.Eviews使用指南与案例[M].第1版.北京：机械工业出版社,2006.
[7]仇中群.基于协整的股指期货套利研究[D].2009.
[8]徐壮丽.沪深300指数期货与封闭式基金套利交易的实证研究[D].2007.15.
[9]张建军.新华富时中国A50股指期货对中国证券市场的影响[D].2008.33.
[10]陈守东,刘英华.最优化模型下的股指期货套利[J].税务与经济,2009(5)：23-28.
[11]郑明川.期货交易的理论与实务[M].浙江：浙江大学出版社,1997.
[12]John.C.Hull.期权、期货和衍生证券[M].北京：华夏出版社,1997.
[13]陈晓静,陈钟.从仿真交易看沪深300股指期货的期现套利[J].证券市场导报,2007(10)：14-18.
[14]交易规则及实施细则汇编[M].上海：中国金融期货交易所,2007.
[15]雷泽,秦昌贵.股指期货：套利空间大利润高?[J].资本市场,2007(01)
[16]席晓峰.股指期货套利成本分析[R].北京：中信建投证券,2006.
[17]Brennan,1990, Arbitrage in Stock Index Futures[J], The Journal of Business, Vol.3:7-31.
[18]Bortoli, L., A. Frino,2006, The impact of index composition on stock index futures mispricing[R], Working paper.
[19]Chung, P.,1991, A transaetions data test of stock index futures market effieiency and index arbitrage profitability[J], Journal of Finanee, No.46: 791-809.
[20]Cummings, J. R., A. Frino,2007, Time-dependent risk measurement for stock index arbitrage[R], Sidney. Sydney Futures Exehange.
[21]Cornell, B. and K. French,1983, The pricing of stock index futures[J], Journal of Future Markets, No.3:1-14.
[22]Delong, B., A. Shleifer,1990, Noise trader risk in financial markets[J], Journal of Political Eeonomy, No.98:703-738.
①股指期货期现套利及其作用[EB/OL].http://www.cffex.com.cn/tzzfw/bwbd/jczs/201001/t20100129_7225.html.
②周婕.构建股指期货套利组合的研究[D].2008.5-6。
①王伟峰刘阳.股指期货的跨期套利研究—模拟股指市场实证金融研究[J].金融研究,2007,(12)：239.
①曹国海.中国机构投资者股指期货套利策略选择性研究[D].2009.23.
①克里斯·布鲁克斯.金融计量经济学[M].第1版成都：西南财经大学出版社,2005.327-347.
[1]曹国海.中国机构投资者股指期货套利策略选择性研究[D].2009.12-13.
[2]周婕.构建股指期货套利组合的研究[D].2008.5-6.
[3]王伟峰、刘阳.股指期货的跨期套利研究—模拟股指市场实证金融研究[J].金融研究,2007(12)：239.
[4]邹宏元.金融计量经济学导论[M].第2版.成都：西南财经大学出版社,2005.327-374.
[5]谢中华.MATLAB统计分析与应用：40个案例分析[M].第1版.北京：北京航空航天大学出版社,2010.
[6]张晓峒.Eviews使用指南与案例[M].第1版.北京：机械工业出版社,2006.
[7]仇中群.基于协整的股指期货套利研究[D].2009.
[8]徐壮丽.沪深300指数期货与封闭式基金套利交易的实证研究[D].2007.15.
[9]张建军.新华富时中国A50股指期货对中国证券市场的影响[D].2008.33.
[10]陈守东,刘英华.最优化模型下的股指期货套利[J].税务与经济,2009(5)：23-28.
[11]郑明川.期货交易的理论与实务[M].浙江：浙江大学出版社,1997.
[12]John.C.Hull.期权、期货和衍生证券[M].北京：华夏出版社,1997.
[13]陈晓静,陈钟.从仿真交易看沪深300股指期货的期现套利[J].证券市场导报,2007(10)：14-18.
[14]交易规则及实施细则汇编[M].上海：中国金融期货交易所,2007.
[15]雷泽,秦昌贵.股指期货：套利空间大利润高?[J].资本市场,2007(01)
[16]席晓峰.股指期货套利成本分析[R].北京：中信建投证券,2006.
[17]Brennan,1990, Arbitrage in Stock Index Futures[J], The Journal of Business, Vol.3:7-31.
[18]Bortoli, L., A. Frino,2006, The impact of index composition on stock index futures mispricing[R], Working paper.
[19]Chung, P.,1991, A transaetions data test of stock index futures market effieiency and index arbitrage profitability[J], Journal of Finanee, No.46: 791-809.
[20]Cummings, J. R., A. Frino,2007, Time-dependent risk measurement for stock index arbitrage[R], Sidney. Sydney Futures Exehange.
[21]Cornell, B. and K. French,1983, The pricing of stock index futures[J], Journal of Future Markets, No.3:1-14.
[22]Delong, B., A. Shleifer,1990, Noise trader risk in financial markets[J], Journal of Political Eeonomy, No.98:703-738.