股指期货跨期套利自适应机制理论与实证——基于沪深300股指期货高频数据的证据  

A Theoretical and Empirical Study on Intertemporal Arbitrage Adaptive Mechanism of Stock Index Futures——Evidence from High Frequency Data of Shanghai and Shenzhen 300 Index Futures

作　　者：刘海飞[1] 李伟 李冬昕[1] 许金涛[1] LIU Hai-fei;LI Wei;LI Dong-xin;XU Jin-tao(School of Management and Engineering,Nanjing University,Nanjing 210093,China;Retail Bank,Bank of Jiangsu,Nanjing 210006,China)

机构地区：[1]南京大学工程管理学院,江苏南京210093 [2]江苏银行股份有限公司零售业务部,江苏南京210006

出　　处：《华东经济管理》2018年第11期102-111,共10页East China Economic Management

基　　金：国家自然科学基金项目(71771116;71203144);江苏省自然科学基金项目(BK20161398)

摘　　要：跨期套利策略的难点是如何确定价差长期均衡所处的合理区间。文章引入协整检验方法,对沪深300股指期货不同期限合约价格序列进行检验,构建相对均衡价差并估计无套利相对价差区间。利用边界测试和灵敏度分析,确定外扩点数和缓冲止损带的最优参数,制定价差交易策略实证分析。研究发现:不同期限合约间的价格序列具有长期稳定的协整关系,存在跨期套利空间;引入缓冲止损机制可以保证收益曲线更加光滑,提高跨期套利成功率和累计收益。The difficulty of the intertemporal arbitrage strategy is how to determine the reasonable interval in which the spread is balanced.This paper tests Shanghai and Shenzhen 300 stock index futures contracts price for different period of time by applying the co-integration testing method,and constructs the relative equilibrium spread and estimates the arbitrage-free range.By using the boundary test and the sensitivity analysis,the paper determines the optimal parameters of the number of external expansion points and the buffer stop-loss band,and makes the empirical analysis of the spread trading strategy.The study finds that the price series between different term contracts have a long-term stable cointegration relationship and there are an intertemporal arbitrage space.The introduction of buffer stop-loss mechanism can ensure that the profit curve is smoother and the success rate and the accumulated profit of intertemporal arbitrage are increased.

关 键 词：股指期货 跨期套利 缓冲止损 

分 类 号：F830.9[经济管理—金融学]