股指期货投资策略分析-工商管理专业论文.docxVIP

i··AY 577553 i ··A 摘要 随着金融市场的国际化趋势日益加快，国际资本市场上机构投资者的主导作用不 断增强，由此对风险管理工具和手段提出了更高的要求，这使得:金融创新不断加快# 国际余融市场的资产结构也因此发生了重大变化。 股票指数期货产生并发展示上世纪八、丸十年代 F 由于它既能够丰富金融市场交 易品种，引进期市双向交易机制，提高资金利用率，又能够规避市场的系统风险和保 障宏观经济平稳运行?因此目前已经成为金融市场最重要、最成功的金融工具之一。 加入 WTO 之后，我国证券市场将进一步对外开放。股指期货作为国际资本市场 投资机构重要的风险管理工具 F 势必也将在我国证券市场推出和发展。这就需要有完 善的证券市场体系来提高证券市场的闺际竞争力，这使得发展以指数期货为代表的金 融衍生品市场成为必然和现实的选择。为了更好地把握指数期货推出后的市场投资机 会?本文将结合国际先进的理论研究和国内证券、期货市场的实践经验，进行股指期 货的投资策略的实用性研究。 本文主要从指数期货定价机制的研究开始营透过传统的理论定价模型深入分析了 现实条件限制下的定价模型?并对指数期货投资三大基本策略作了积极的探讨和并给 出实务操作意见，并结合证券投资组合理论提出了投资机构具体的实战应用策略。最 后F 对指数期货的风险做了分析 F 提出了关于风险防范的儿点意见。 关键词:股指期货定价套期保值套利风险 ‘.;.;..:::，:.ìl f; _ ;._. 个川};二哥、飞:斗惊飞 ;jfi部 . 豆、 、，川匀，协 z.-列主E z.- IV IV Abstract Along with the intemationalization trend，in the financial market ，the predominant unction of the organization investor is strengthenning continuously. More financial tool were created while the higher request of the risk-management were put forward. The property 、construction ofthe intemationa1 financial market also took place the important variety. 、 Brought and developed in last century 80--90 the Stock Index Futures have become one ofthe most important and successful financial tools in recent money market.Not only can ìt enrich the stock market trading species，but also it bring the dual trading direction mechanism 企om futures market，increase the utilization of funds，evade the system risk of the stock market and guarantee macro-economic steady movement. In future，Our country s Stock market will further open. As an important risk-management tool ，Stock Index Futures wiU appear certain1y at this stock market. For the sake of betterly 岛11 with confidence investment opportunity，this text will join together the intemational advanced theories research with the fulfillment experience of the local Stock and Futures market ，proceed the application research in investment strategy of the Stock lndex Futures. This text st缸t from the research in pricing mechanism of the Stock l