股指期货跨市场套利策略研究.doc

股指期货跨市场套利策略研究
——基于中国内地沪深300指数与香港恒生指数市场
摘要:
股指期货正式推开了A股市场套利时代的大门,本文旨在研究利用股指期货在中国内地沪深300指数市场和香港恒生指数市场之间进行跨市场套利。文章在无套利思想,MM理论和Ito Process的理论基础上,首先利用两市场结构的定性分析,恒生AH股溢价指数走势和回归分析法及因果假设检验,得到沪深300和恒生指数现货市场之间存在强关联性,并且A股长期处于溢价状态;其次,利用无套利思想和A股持续走强H股长期处于弱势的现状,构造正向套利组合,加入成本因素得到股指期货的理论定价及无套利区间上界(同理反向套利组合得到无套利区间下界),继而得到跨市场期货套利区间;然后,利用两市场现货价差构造两时点期货买卖对冲模型,利用成本收益法得到套利时点及策略,并结合实际市场进行模拟操作;最后,文章就对冲模型的跨期和跨市场因素造成的风险进行定性研究。全文旨在对股指期货跨市场套利提出可行性研究,在中国股指期货境内外交易未完全开放的情况下,跨市场套利策略虽不能立即得以实现,但却为提高市场的有效性和新型衍生金融产品的开发起到借鉴和启示作用。
关键字:股指期货跨市场套利
Abstract
Stock index futures officially opened the era of A-share market to arbitrage the door, this is to study use of stock index futures in the mainland China market and Hong Kong, Shanghai and Shenzhen 300 Index, the Hang Seng Index cross-market arbitrage between markets. Paper no arbitrage thinking, MM theory and Ito Process based on the theory, first used qualitative analysis of the structure of the two markets, the Hang Seng AH Premium index trend and regression analysis and causal hypothesis testing, by the Shanghai and Shenzhen 300 and the Hang Seng Index stock market there is a strong correlation between and A shares at a premium long-term status; Secondly, the use of no-arbitrage A share ideas and continued strength in a weak H shares of the status of long-term, structural positive arbitrage to include a cost factor by the theory of index futures pricing and arbitrage-free interval upper bound (the same reason the reverse arbitrage portfolio be no arbitrage interval lower bound), then be cross-market futures arbitrage interval; then constructed using two two-point spread market futures spot trading hedge model, using cost-benefit law is arbitrage timing and strategy, combined with simulation of the actual market operation; Finally, the article on cross-hedging model and cross-market factors on the risk of qualitative research. Stock index futures to the full text of the proposed feasibility study on cross-market arbitrage in stock index futures