期现套利

在期现套利研究中，分析了行业分层抽样和ETF基金组合这两种现货指数复制策略。

During future-spot arbitrage analysis , two different types of index replication method including industry stratified sampling and ETF portfolio replication are investigated .

本文主要研究了沪深300股指期货的期现套利与跨期套利。

This thesis mainly studies future-spot arbitrage and calendar-spread arbitrage with CSI 300 stock index future .

沪深300股票指数期货期现套利机制研究

Research on Index Arbitrage of Shanghai and Shenzhen 300 Index Futures

研究期现套利的根本在于如何对股指期货进行合理定价。

The fundamental issue of index arbitrage concerns how to price the stock index futures reasonably .

股指期货期现套利并未完全发挥作用，因为现货组合成本巨大、交易市场分割等原因不能广泛利用期现套利。

Stock index futures arbitrage role because spot combination costs , market segmentation etc. Reason cannot extensive use .

期现套利要买卖现货，这就提出了指数复制的问题。

We have to investigate in index replication because the spot-future arbitrage has to buy or sell spot portfolios .

因此对于期现套利，本文的研究重点在于现货组合构建方法的研究。

Therefore , this article is for period arbitrage the research emphases are spot combination method of building research .

本文对期现套利进行了实证分析，并分析了套利效果。

In this paper , there is an empirical analysis of arbitrage , and the analysis of the effect .

构建的现货组合对目标指数的跟踪效果越好，则期现套利的套利风险就越小。

Constructing the spot combinations on target index of tracking the better , the period of arbitrage risk is smaller .

现货组合的构建是股指期货期现套利的关键问题之一。

Recently , construction of spot portfolios becomes one of key steps in the futures-spot arbitrage of stock index futures .

本文通过分析沪深300指数期货的期现套利，以期为期货交易的政策制定者和投资者提供科学的可操作的参考意见。

Through the analysis of HS-300 Index future arbitrage , the author wants to provide some scientific theoretical reference for policy makers as well as the investors .

期现套利的交易实现离不开理论建模、系统设计以及风险识别和控制这三方面的支撑。

Carrying out of futures-cash arbitrage can not leave these three aspects : the theory modeling , the system design as well as the risk distinguishes and controls .

第四章主要论述了中国机构投资者的基本状况与股指期货套利策略选择，并对中国机构投资者股指期货套利策略效率进行实证，分析期现套利、跨期套利策略的成本效率和收益率。

Chapter IV focuses on basic conditions of institutional investors in China , selection of stock index futures arbitrage strategy verify that efficiency and analyze Cost-efficiency and yields .

第六章，重点讨论了股指期货市场期现套利中的核心问题：如何构建指数现货组合。

In the sixth chapter , we emphatically discuss how to build a stock portfolio which is the key issue of the spot-future arbitrage in the stock index futures market .

期现套利需要分别在期货市场和现货市场建仓，利用期货与现货价格差的波动进行获利。

The time present arbitrage needs buying in both the futures market and the stock market , and takes the advantage of futures and stocks price volatility to make profit .

接着详细阐述了股指期货的四种套利策略，而且依据国内的实际情况，选择了具有实际可操作性的期现套利和跨期套利作为本文的研究对象。

Then elaborated on four arbitrage strategy , and its basis domestic actual situation chose feasible period now arbitrage and cross period arbitrage as the research object in the thesis .

股指期货具有价格发现、风险管理和期现套利的功能，有助于优化市场投资者结构，提供风险对冲机制和完善期货市场法律体系。

Generally , stock index future has three basic functions , that is , price discovery , hedging and arbitrage . The futures market could help manage the risk and establish a complete futures law framework .

因此建议机构投资者着重关注期现套利和跨期套利，这两种套利策略是未来沪深300指数期货套利的主要策略选择，因此建议管理层应当给于股指期货套利政策上的支持。

Therefore , I recommend institutional investors focus on the current period intertemporal arbitrage and arbitrage which are key strategies in the future of the Shanghai and Shenzhen 300 index and management should give support on policies .

而目前正在进行的仿真股指交易也经常出现偏颇的定价，可以猜测，在我国股指期货推出的初期，期现套利的机会将会频繁出现。

Now simulated trading of stock index futures prices wrong usually , you can guess , in the early stage of trading of Chinese stock index futures , the arbitrage opportunity of futures and spot will appear frequently .

文章提出了在我国现有的市场环境下，股指期货的期现套利行为受到多种因素影响，套利行为并非完全无风险，有些因素甚至威胁到套利操作的成败与否。

This article puts forward the current market environment , stock period the stock index future futures-spot arbitrage behavior is not without risk , many factors will affect the effect of arbitrage , and even a threat to arbitrage operation success or failure .

作者从股期期现套利行为的全过程入手，分析了影响套利效果的各种因素，提出解决方案，并对其中关键的现货选择提供了具体配置方案，以期对套利投资者的套利实践有所帮助。

The stock index future futures-spot arbitrage behavior in the whole process of analysis of the effects of arbitrage the effect of various factors , put forward the corresponding spot allocation solutions , with a view to arbitrage investors arbitrage activities help .