股指期货套利应用与实证分析-金融学专业论文.docxVIP

the methods of spot construction include: full replication, optimized sampling, stratified sampling, HS300 index fund portfolio and ETF portfolio and so on, Though the research we found that the cost of full replication is too high, optimized sampling and stratified sampling can achieve a good track performance to the index. HS300 index fund portfolio is a easy way to construct spot, but it is not suitable for stock index futures arbitrage because of its trading mechanisms. ETF portfolio has less cost and better tracking effect, and it is an ideal method of spot construction. In part five, we do empirical study on the index futures arbitrage, using the data of HS300 simulation trading of 2009, The study indicates that , there are large number of arbitrage opportunities during the period of simulation trading, and the arbitrage yield is very rich. Stock index futures contains high-risk, in the sixth part, we analysis the risk origin of stock index futures through the “incident of 327 bond futures”, the origin contains: the uncertainty of future price, leverage, investors’ non-rational, the market mechanism is unsound and policy risks, there are also risks in stock index futures arbitrage, just like: the risk of pricing, spot construction, compulsory liquidation and operational ,to control the stock Futures risk, the article presents some policy recommendations. We obtain some achievements in the course of study, but there are also many problems which have not been resolved and needs further study, just like: the selection of high-frequency data, the calculations of impact cost, quantitative analysis of risk, and so on. Key words: Stock index future; Term arbitrage; Spread trading; Spot construction; Risk control. IV 1生创性声明 Fλ 声明，节 E!史的辛仨诠主是丰 λE导J?祖号下进行的明 .L.fi:A且梧的 严在此且挂我醉如. I悻丁士中.1号! 如 I!辑运和毒面的地主 F 外‘培文中平包含 .丛已赶虫削岳阳的哥时，也汗也邮报 昭雄t4tJ.JiJ!;协商机构 眩晕缸虱证书育使用过的挝科.与 ft-同工作的南卓玛本吁民所做的任向贡献均 已在桂士中 rtr 丁明窑的现明并丰示甜 t=:. 刊出路tjp !如} 盔非Er lJ: J.‘ l旺 i年 b Jl g a 学位论文版权使用授权 书 学位以 t