基于ETF沪深300股指期货套利研究  

Research on Arbitrage of Hu-Shen 300 Stock Index Futures Based on ETF

作　　者：林天水 王政 LIN Tian-shui;WANG Zheng(School of Applied Mathematics,Chaohu College,Chaohu 238000,China;Schoolof Business Management,Chaohu University,Chaohu 238000,China)

机构地区：[1]巢湖学院应用数学学院,安徽巢湖238000 [2]巢湖学院工商管理学院,安徽巢湖238000

出　　处：《辽宁工业大学学报（自然科学版）》2018年第5期342-346,共5页Journal of Liaoning University of Technology(Natural Science Edition)

基　　金：安徽高校人文社会科学研究项目(SK2017A0484);巢湖学院利息理论优质课程项目(ch18yk005);巢湖学院校级重点学科招标课题(ZDXK-201806);"国元证券金融实践教育奖学金"项目(GYZQ-201713;GYZQ-201717)

摘　　要：ETF相比传统期货与股票组合具有低成本、低风险、无税收的优势,因而股指期货与ETF间的套利使得投资者更加关注。文章以持有成本理论模型为基础,加入中国市场的一些指标参数,得到更加完善的无套利区间以适用于中国市场,选取2016年11月21日到2017年2月20日沪深300指数期货日收盘价数据,建立回归模型并进行平稳性检验和协整检验,结果表明在现实市场中套利机会的确存在,这种套利机会的存在是因为一些特殊因素影响,虽是偶然,但同时也是必然的。通过IF1701合约与华泰柏瑞沪深300ETF套利具体操作,模拟出健全的套利全过程,说明了市场最终会通过套利行为回归均衡状态。ETF has the advantages of low cost, low risk and no tax compared with traditional futures and stock portfolio, so the arbitrage between stock index futures and ETF makes investors pay more attention to it. Based on the theory of holding cost model, this paper adds some index parameters of China’s markets, and gets a more perfect arbitrage-free interval to apply to China’s markets. by selecting the daily closing price data of Hu-Shen 300 index futures from November 21, 2016 to February 20, 2017, the paper establishes a regression model and conducts the stationary test and cointegration test. the results show that arbitrage opportunities do exist in the real market. the existence of arbitrage opportunities is due to some special factors, although it is accidental, but also inevitable. Through the IF1701 contract and Huatai Berry Hu-Shen 300etf arbitrage specific operation, a sound arbitrage process is simulated, showing that the market will eventually return to equilibrium through arbitrage behavior.

关 键 词：ETF 沪深300股指期货 无套利区间 

分 类 号：F831.5[经济管理—金融学]