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论文编号：	6920
作者编号：	2120123031
上传时间：	2014/12/8 13:48:08
中文题目：	现金分红对沪深300股指期货的影响和投资策略研究
英文题目：	Research on the impact of csi 300 stock index futures and invest strategy based on cash dividends
指导老师：	齐岳 教授
中文关键字：	投资者保护；现金分红；股指期货；股指期货套利策略
英文关键字：	Investor protection; cash dividend; stock market index futures; arbitrage strategies of stock market index futures
中文摘要：	近几年，中央加大了中小投资者保护政策的力度，切实保障投资者利益，2013年底，国务院专门发布文件以推进保护中小投资者利益的相关政策。而现金分红则是相关政策中非常重要的一项，是对投资者利益实实在在的保护。从我国资本的实际运行情况来看，其分红收益率较低，表现差于国际成熟资本市场，从国内资本市场的结构角度来看，沪深300指数代表了国内主要蓝筹股的基本情况，可以用以反映国内资本市场运行的总体态势，而沪深300所代表的蓝筹股分红收益率也好于A股市场总体水平。鉴于沪深300指数的代表性，国内股指期货的标的即选定为沪深300指数，而分红收益率又是股指期货定价的一个重要因素。 本文将从上市公司现金分红的视角入手，研究其对沪深300股指期货所产生的影响和相关的投资策略。在理论综述方面，对国内外学者关于现金分红的主要研究结论进行回顾，同时对股指期货的定价、套利模型进行推导，指出分红收益率是影响股指期货定价的一个重要因素。进而，将继续阐述加强投资者保护对上市公司分红和股指期货所带来的影响，这一部分是全文的重点，并将采用案例分析的方式来从微观视角进行研究，同时，将就分红收益率对股指期货所产生的影响进行定量分析，并讨论可能产生的套利策略和实际案例。通过研究，将有助于股指期货投资者制定投资或套利策略，也有利于政策制定者考量政策对于上市公司和资本市场可能产生的影响。
英文摘要：	In recent years, the central government increased thepolicy of small investor protection,to protect the interests of investors,by the end of 2013,the State Council specially issued documents to promote the relevant policies to protect the interests of small investors.And the cash dividend is a very important policy in the interests of investors, is the real protection of them.From the actual operation of China's capital, the dividend rate is low, has a poorer performance than mature international capital market,from the perspective of the domestic capital market structure, the csi 300 index represents the basic situation of domestic major blue chip, can be used to reflect the overall situation of domestic capital market, and the csi 300 index which represents the blue chip dividend rate is better than the A shares market overall level. In view of the representative of the csi 300 index, the subject of stock index futures is selected as thecsi 300 index, and the dividend rate is an important factor in stock index futures pricing. This paper will start from the quoted company cash dividend perspective, to study its effect on the csi 300 index futures and the relevant strategies. Insummarize of theory, will review the main conclusions of the study on dividend policy by scholars internal and abroad, at the same time, to infer the pricing of stock index futures and arbitrage models, points out that the dividend rate is one of the important factors affecting the pricing of stock index futures.Then, will continue to expound the effect of improving investor protection, which brings to the quotedcorporation dividends and stock index futures,thisis the key part of the thesis, and the case analysis way will be used to research from the micro perspective,at the same time, quantitative analysis way will be used to research on the effect of the dividend rate on the stock index futures , and discuss the possible arbitrage strategies and practical case.Through this research, will help investors to make stock index futures investment or arbitrage strategy,and also helps policy makers to consider the influence which policies may bring to the quotedcorporation and capital markets.
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