硕士论ۥ文沪深300股指期货套利策略研究.docx

硕士论文--沪深300股指期货套利策略研究

篇一：我国证券市场股指期货与沪深300指数套利研究
吉林财经大学
毕业
我国证券市场股指期货与沪深300指
数套利研究
学院金融学院
专业班级金融工程0801班
学生姓名张微
学号0206080125
指导老师刘晓东
职称副教授
二○一二年四月
毕业论文原创性声明
本人郑重声明：所呈交毕业论文，是本人在指导老师的指导下，独立进展研究工作所获得的成果。除文中已经注明援用的内容外，本论文不包含任何其别人或集体已经发表或撰写过的作品成果。对本文的研究做出重要奉献的个人和集体，均已在文中以明确方式标明。本人完全认识到本声明的法律结果由本人承担。
论文作者签名：2012年月日
摘要
本文以我国股指期货合约为研究对象，结合证券市场实际数据，运用实证分析的方法，阐述了在我国股指期货市场进展套利的全过程，论证了套利买卖在我国股指期货市场的潜在开展空间，为机构投资者利用股指期货合约进展套利提供策略参考。
【关键词】沪深300指数股指期货180ETF套利
Abstract
Thispaperiscombinedwithactualdataofsecuritiesmarket,usesempiricalanalysismethod,takesstockindexfuturescontractinChinaastheresearchobject,expoundsthewholeprocessofstockindexfuturesarbitrageinChinaanddemonstratesthepotentialdevelopmentofstockindexfuturesmarketarbitrage,whichprovidesreferenceofstockindexfuturesarbitragestrategytoinstitutionalinvestors.
Keywords:CSI300indexStockindexfutures50ETFArbitrage
目录
一、我国股指期货概述·······································································（1）
（一）我国股指期货的产生及开展···································（1）
（二）沪深300股票指数与沪深300股指期货合约·········（1）
1.沪深300股票指数···············································（1）
2.沪深300股指期货合约········································（1）
（三）股指期货的特点······················································（3）
（四）股指期货的买卖策略··············································（3）
二、期现套利的理论模型··································································（4）
（一）我国期指套利买卖类型及可行性分析····················（4）
（二）股指期货定价模型··················································（4）
1.现货——远期平价定理·········································（5）
2.持有本钱模型·····················································（5）
3.区间定价模型·····················································（5）
（三）股指期货套利买卖风险··········································（8）
三、实证分析···························································································（9）
（一）股指期货套利步骤··················································（9）
（二）沪深300股指期货合约期现套利头寸建仓·············（9）
（三）实证模型参数设定················································（10）
1.参数设定··