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论文编号：	2230
作者编号：	2120082300
上传时间：	2010/5/27 18:28:02
中文题目：	股指期货期现套利的现货模拟研究
英文题目：	The Research on the Spot Simulation of Stock Index Futures
指导老师：	齐岳
中文关键字：	股指期货;现货选择;指数模拟;跟踪误差;权重配置
英文关键字：	Stock Index Futures;Choice of Spot;Index Simulation;Tracking Error;Weight Arrangement
中文摘要：	近年来，在“稳步发展期货市场”的政策指引下，我国期货市场呈现了持续、稳步、较快的发展态势，商品期货市场规模已跃居世界第二，市场参与主体与监管主体方面都不断成熟，逐步具备了发展衍生产品的条件。2010年1月，中国证券监督管理委员会正式批准中国金融期货交易所开展股指期货交易。此后，相应的交易规则和实施细则陆续出台。2010年4月16日，沪深300股指期货合约正式上市交易。股指期货的推出为投资者提供了有力的投资和避险工具，也进一步健全和完善了我国资本市场的功能。 根据历史经验，全球主要金融市场在推出股指期货的初期，都存在大量的期现套利机会。本文将就股指期货在进行期现套利操作时的现货模拟问题做深入的研究。 本文从基本原理、交易实务、以及对标的指数的拟合效果等方面，系统考察了指数基金、ETF和标的指数成分股作为沪深300指数期货现货成分的可行性。尤其对以标的指数成分股构建模拟投资组合时的成分股筛选标准进行了探讨。在考虑了行业分层因素的基础上，提出以某日的权重或市值、某一时期内的成交额或成交量为标准的选股方法。其次，本文对现有的现货权重配置方法、以及模拟投资组合对标的指数跟踪效果的评价标准进行了比较，选择以跟踪误差最小化为目标构建“权重优化配置模型”，以此作为统一的标准来评价各个模拟投资组合对标的指数的跟踪效果，并确定模拟投资组合中各成分的权重。同时，本文应用较新的数据，对上述模型和方法进行了实证研究、以及模型适用性的再论证。最后，本文对影响模拟投资组合对标的指数跟踪效果的因素进行了分析，指出了现货成分、投资组合拟合样本量划分比例、以及套利头寸构建过程这三大类因素所可能带来的风险，并给出了可供参考的解决方案。
英文摘要：	In recent years, under the policy of ‘stable development’, China's futures market presents continuous, stable and rapid development trend. The scale of physical futures market has grown to be the second largest in the world. With the gradual maturing of market players and regulators, the condition of developing financial derivatives is satisfied. After the stock supervisory committee approving the trading contracts and revising the rules of new financial instrument in January 2010, the China Financial Exchange starts to accept application for index futures trading accounts. Form April 16th 2010, investors are able to trade the HS300 index futures. This index future would protest investors against losses and also help them to profit from any declines. It also further improves and completes the function of China capital market. Based on historical experiences, in the early stage of the launch of stock index futures all across the world's major financial markets, there are a lot of arbitrage opportunities. This paper thoroughly investigates the spot selection problem for the spot-future arbitrage operation. By focusing on the basic principle, trading practical and simulation accuracy, this paper systematically examine the feasibility of simulating HS300 stock index futures using index funds, ETF and component stock as spot. First, on the consideration of industry arrangement, this paper investigates three component stock selection methods, which use market value, volume, trading value as selection criteria respectively. Second, after comparing existing spot weighting methods and index simulation accuracy, this paper proposes to use tracking error as objective function to optimize the spot portfolio. Furthermore, this paper carries out experiments on publicity available index dataset to verify the proposed methods and optimization model. Finally, this paper analyzes the factors that impact the performance of index simulation, and point out the potential risk in selecting spot component, simulation data size and arbitrage positions. A possible solution is given in the end.
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