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A Study on the Arbitrage Mechanism and Empirical Tests of Stock Index Futures

Author: ZhengZhiZuo
Tutor: TianXinMin
School: Capital University of Economics
Course: Quantitative Economics
Keywords: Stock index futures Of arbitrage Intertemporal arbitrage No arbitrage interval
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 673
Quote: 3
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Abstract


Arbitrage is a basic strategy adopted by the investors in the financial markets , it can avoid and defuse the risk in the futures market , so it has been widely used for investors . Learn from the results of previous studies based on the theory of the stock index futures arbitrage transactions , such as arbitrage connotation , classification , to arbitrage trading mechanism and arbitrage trading strategies system and comprehensive study proposed the period of stock index futures arbitrage model and intertemporal arbitrage model , and by the introduction of the the CSI 300 simulation futures contracts , the S P500 stock index futures , as well as the Hong Kong Hang Seng stock index futures three instances , stock index futures arbitrage the intertemporal arbitrage strategies Empirical Analysis . In addition, the article on the FTSE the A50 stock index futures and the Chinese mainland A-share market also cross-market of the arbitrage made ??a feasibility analysis . Through empirical research , the results show that : the established period of stock index futures arbitrage model and intertemporal arbitrage model is feasible , and can achieve good arbitrage gains . ( 1 ) In the study of arbitrage , the article given period arbitrage estimation method of the total cost of the two-way , and CSI 300 , for example , 1.9986% the percentage of two-way arbitrage total cost . CSI 300 index the emulation futures contract IF0903 , for example , when there is a positive arbitrage , January 14, 2008 to 2009, 20 of the contract expires , for arbitrage gains 12.9394% . (2) in intertemporal arbitrage research , the U.S. SP 500 index futures and Hong Kong's Hang Seng index futures , for example , analyze the intertemporal arbitrage -free arbitrage spreads interval as well as multi- head (empty ) intertemporal arbitrage opportunities and arbitrage gains and losses result . In the last part of this article summarizes the results of empirical research and some future research directions and recommendations . The results of this analysis with a strong practical , and hope to set forth a more comprehensive theory and empirical research to fully support the theory and empirical basis for institutional investors arbitrage activities in the future .

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