股指期货Alpha套利策略比较分析-金融工程专业论文.docxVIP

华 华 中 科 技 大 学 硕 士 学 位 论 文 II II Abstract After 20 years of development, the stock index futures had become one of the most important financial derivative tools in the world. And finally China officially listed HS300 index futures in the Financial Futures Exchange on April 16, which would turn the Chinese capital market from single-side trading into double-side trading. Simultaneously, as a robust investment strategy with low risk and stable income, had caught many eyeballs of the investors. Especially the Alpha Arbitrage which requires a strong ability of selecting the high Alpha Stock portfolio, was widely concerned by institutional investors. So there are important practical significance on comparative researching of Alpha Arbitrage. This paper examined four different strategies including Momentum strategy, Contrarian Strategy, Treynor’s Measure strategy, Inertial Energy strategy. The empirical test found that without transaction cost, Momentum strategy and Inertial Energy strategy had significant positive return at 10% level. And the annual yield of Inertial Energy strategy was 40.77% higher than Momentum strategy. In the last, we employed Sensitivity Analysis to test the different combinations of momentum strategy and contrarian strategy which may help the investors in selecting the right asset portfolio. Key words: Stock Index Futures Alpha Arbitrage; Inertial Energy; Strategy Comparative; Sensitivity Analysis PAGE IV PAGE IV 目 录 摘 要 I HYPERLINK \l _bookmark0 Abstract II HYPERLINK \l _bookmark1 1 绪 论 HYPERLINK \l _bookmark2 1.1 研究背景与意义 (1) HYPERLINK \l _bookmark3 1.2 文献综述 (2) HYPERLINK \l _bookmark4 1.3 研究思路 (11) HYPERLINK \l _bookmark5 1.4 本文结构安排 (12) HYPERLINK \l _bookmark6 2 股指期货套利概述 HYPERLINK \l _bookmark7 2.1 股指期货介绍 (13) HYPERLINK \l _bookmark8 2.2 股指期货的功能 (14) HYPERLINK \l _bookmark9 2.3 股指期货的套利模式 (16) HYPERLINK \l _bookmark10 2.4 Alpha 套利概述 (19) HYPERLINK \l _bookmark11 2.5 本章小结 (25) HYPERLINK \l _bookmark12 3 实证分析 HYPERL