股指期货期现套利策略及风险管理研究 _ 以A 公司为例.pdf

摘 要 经过十几年的发展，我国国内资本市场包括股票市场与期货市场都发生了很深 刻的变化，各种证券法律、法规及风险管理制度等规范市场的措施相继出台，统一 的监管体系基本形成，股指期货发展已具备良好的制度保障与市场环境。 随着股指期货的推出，对于其相关问题的研究成为理论界与实务界关注的热点， 更受到了广大投资者的密切关注，尤其是我国的机构投资者。 本文把作为市场关注热点的股指期货作为研究标的，结合了国内外股指期货期 现套利交易策略的研究理论，主要阐述了股指期货期现套利交易的两种交易策略， 包括无风险套利和统计套利。同时阐述了这两种交易策略的基本理论、交易流程和 风险管理，并以 A公司的实际操作为例，通过案例分析的方法，验证了股指期货期 现套利的两种交易策略在实际交易中是可以取得收益的，相比于无风险套利，统计 套利以其相对稳定的收益，更适合于我国的机构投资者来参与其中。 关键词：股指期货、无风险套利、统计套利、风险管理 1 ABSTRACT After ten years of development, Chinas domestic capital markets including the stock market and futures markets have undergone profound changes, various securities laws, regulations and risk management systems and other measures to regulate the market were introduced, the basic formation of a unified regulatory system, The development of stock index futures already have a good system to protect and market environment. With the introduction of stock index futures, for their problems of theorists and practitioners to become the focus of attention, but also by the majority of the close attention of investors, especially institutional investors in China. This article concerns the hot spot as the stock index futures market as a research subject, a combination of domestic and international stock index futures on arbitrage trading strategy theory, mainly on the stock index futures on arbitrage trading two trading strategies, including arbitrage and risk-free Statistical arbitrage. It also described the basic theory of the two trading strategies, trading and risk management processes, and to A Companys actual operation, for example, through case analysis, validation of the stock index futures on arbitrage trading strategies in both the actual transaction In income can be achieved, compared to risk-free arbitrage, statistical arbitrage with its relatively stable earnings, bette