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Empirical Analysis of the Threshold Effect of Percentage Mispricing between the CSI300Index Futures and the Stock Index

Author: YangHuaLin
Tutor: YuanYiYong
School: Southwestern University of Finance and Economics
Course: Financial Engineering
Keywords: Index-futures Arbitrage Percentage Mispricing Vector ErrorCorrection Model Threshold Effect
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Type: Master's thesis
Year: 2013
Downloads: 15
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Abstract


Due to the impact of market frictions, the spreads between futures and its theoretical price have one or more threshold,then the spreads will be divided into many regime by threshold, arbitrage behavior is different in each regime, and the adjustment speed is different in each regime, the equilibrium level is not a fixed value, but it is an regime, arbitrageurs will enter into market in this regime, market arbitrageurs found spread, then they can make arbitrage space narrowing until the arbitrage disappears.The object we are to research is the threshold.Many questions lay in front of us. Is there co-integration between future price and spot price? Does some threshold effect exist between their differences? How should we set the threshold variable and find out the thresholds’number and locations? Which plays the leading role in the dynamic adjustment of relationship between future price and spot price, future price or the latter? Does the future price lead the spot price in the dynamic adjustment of relationship between them or the spot plays the leading role otherwise? All questions above will be researched and analyzed detailed in our article.

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