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The Empirical Study on the Arbitrage of Hu-shen 300 Index Futures

Author: KangHong
Tutor: HuZuo
School: Capital University of Economics
Course: Quantitative Economics
Keywords: CSI 300 Index Futures No arbitrage interval Of arbitrage
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 281
Quote: 0
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Abstract


With the April 16, 2010 in Shanghai and Shenzhen 300 stock index futures, the first of China's capital market, financial futures just born. CSI 300 stock index futures as the only one of China's capital market, stock market systemic risk hedging financial instruments, as the majority investor urgent need to understand the object. Arbitrage is a basic financial market operation strategy, the goal is to avoid market price volatility risk, get a stable investment income. Drawing on paper based on the results of previous studies, in order to arbitrage as a starting point, the concept of stock index futures, the core trading mechanism and arbitrage basic principles described in detail. And use the no-arbitrage pricing of stock index futures deduced theoretical price formula and the use of cash flow analysis deduced arbitrage interval bounds formulas. In the empirical research, the use of the unit root test and the error term serial correlation test on China's stock index futures market to judge the effectiveness and use in 2009 and 2010 ETF (exchange-traded open-end index funds) data design and build a portfolio of ETF arbitrage tool. In addition, the article CSI 300 stock index futures market arbitrage opportunities early and late for the empirical analysis, a detailed study of transaction costs, the impact of cost, dividend yield, etc. have a major impact on the arbitrage parameter value. Through empirical research, this paper the following conclusions: (a) under the no-arbitrage pricing formula for the theoretical price index futures contract pricing in recent months to be effective, on the far month contract is invalid. By IF1007 contract, IF1103 IF1106 contract and the actual price and the contract price comparison theory and practical basis and theoretical basis of the relationship, that no-arbitrage pricing theory under the futures price formula can better forecast the stock index contracts in recent months futures price. (2) At present, China stock index futures market has not yet reached a weak-form efficiency, in theory, have a relatively long period of time in an arbitrage opportunity exists in a precondition. By IF1101 contract date price yield series unit root test and the error term serial correlation test, stock index futures price series that do not meet the random walk process, the market has not yet reached a weak-form efficiency. (3) with a combination of analog Spot Index ETF is better. In this paper cointegration theory constructed ETF portfolio and the actual measured the effect of ETF spot arbitrage portfolio. (4) Transaction costs are the main reason for profits swallowed. Through the pre-market and post-market contracts in recent months relative arbitrage opportunities visit, I found arbitrage opportunities on the market is not much arbitrage profits mainly by transaction costs (including transaction fees and market impact costs) offset. In this paper, the Shanghai and Shenzhen 300 stock index futures arbitrage in the market, the actual situation faced by a detailed analysis, hoping to actual investment activities for investors to provide theoretical support and empirical foundation.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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