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The CSI 300 Index Futures Arbitrage ETF portfolio composite research

Author: LiYuXiu
Tutor: YouDaMing
School: Central South University
Course: Finance
Keywords: Stock index futures ETF Composite arbitrage
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 479
Quote: 2
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Abstract


At present, China's research on the period of the stock index futures arbitrage is limited to how to use as the spot a substitute of the stock index futures, single ETF arbitrage. This operation compared to the direct purchase constituent period arbitrage greatly reduce transaction costs and improve the arbitrage efficiency. The CSI 300 Index with single ETF are the subject of the constituent stocks varied, the tracking error is obvious, it will increase the arbitrage risk. Meanwhile, the current study is only limited to the stock index futures period arbitrage itself, and there is no in-depth analysis of the relationship with stock index futures arbitrage and ETF spread arbitrage. Summarize and draw on the research results at home and abroad on the basis of, the use of multi--only ETF simulation stock index, with a linear regression model, construct the optimal combination of the ETF. Through the inspection found that the combination can significantly reduce the tracking error, reduce the risk arbitrage improve the arbitrage efficiency to solve some of the problems in the previous studies. Meanwhile, stock index futures period arbitrage ETF Spread combined constitute the stock index futures and ETF portfolio composite arbitrage trading structure. Based on the completion of the above work, in-depth study CSI 300 stock index futures and ETF portfolio composite arbitrage trading, quantitative analysis for other important factors that affect the carry trade, and established a relatively complete composite arbitrage trading model. Through empirical testing, the model will further improve the efficiency of arbitrage, has a certain practical significance for the stock index futures market arbitrage. At the same time, this is perfect for the development of China's stock index futures period arbitrage and arbitrage trading mechanism also has certain referential significance. The first two chapters of this article a review of existing research on the stock index futures arbitrage and ETF arbitrage theory, and puts forward the composite stock index futures and ETF portfolio arbitrage concept, structure and complex arbitrage trading and arbitrage mechanisms studied; Chapter of China's capital market transactions ETF screening, namely the use of the stationary test, descriptive analysis, linear regression method to construct the optimal the analog CSI 300 stock index ETF combination, and to determine the CSI 300 index futures ETF portfolio the complex arbitrage main equation; Next, other important factors that affect the composite arbitrage transactions accurately quantitative research and analysis, to further improve the model; Finally, this article build composite arbitrage trading in the above section, an empirical test, to determine the income situation of arbitrage trading. On this basis, this paper, the composite arbitrage trading in the practical application of the inadequacies of the recommendations, and the follow-up study prospects.

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