基于统计套利模型的商品指数期货双跨套利方案研究  

On the Double cross Arbitrage Scheme of Commodity Index Futures Based on Statistical Arbitrage Model

作　　者：扈文秀[1] 牛静[1] 李芳[1] 牛洁[2] 

机构地区：[1]西安理工大学经济与管理学院,西安710054 [2]中国人民银行西安分行,西安710004

出　　处：《管理评论》2013年第9期100-107,共8页Management Review

基　　金：国家自然科学基金项目(70973096;71373204);教育部博士点基金项目(20096118110010);陕西省普通高校重点学科建设专项资金项目(107-5X1202)

摘　　要：论文研究基于商品指数期货与大宗商品类股票ETF的双跨套利策略及其实施方案。首先根据统计套利模型选取套利对象,通过协整检验构建投资组合;其次运用统计套利原理制定套利信号机制;在此基础上,设计出了基于商品指数期货与大宗商品类股票ETF既跨市场又跨品种的双跨套利方案。最后,以商品指数期货和上证大宗商品股票ETF为套利对象,在允许卖空上证大宗商品股票ETF情形下,采用2012年6月14日到2012年6月27目的5分钟高频收盘数据对该套利方案进行了检验,结果表明,采用该统计套利方案能获得套利机会,该统计套利方案在我国期货市场行之有效,该研究能为我国股指期货的推出和正常运行提供一定理论参考与数据支持。The paper tries to explore the double cross arbitrage scheme and its implementation, based on commodity index futures and commodity shares. Firstly, it selects the object to arbitrage according to statistical arbitrage models and establishes the portfolio through co-integration test; secondly, it formulates signal mechanism based on the principle of statistical arbitrage, and carries out the double cross arbitrage scheme between commodity index futures and commodity shares, which is across different markets and different products; finally, it tests the double cross arbitrage scheme, taking the commodity index futures and commodity shares as an example, using the daily close data from June 14 in 2012 to June 27 in 2012. The result shows that the scheme works well, which may provide theoretical reference and empirical support for the knocking out and its healthy operation of commodity index futures and stock index futures.

关 键 词：统计套利 双跨套利 商品指数期货 大宗商品类股票ETF 

分 类 号：F832.51[经济管理—金融学]