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Analysis of the Stock Index Futures Arbitrage Strategy in Our Country

Author: LiaoZuo
Tutor: WangJun
School: Wuhan University of Science and Technology
Course: Political Economics
Keywords: Stock index futures Arbitrage trading CSI 300
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 220
Quote: 1
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Abstract


Standardized futures contracts for trading stock index futures based on stock price index of the subject matter . This new type of derivative financial instruments is a very effective hedging instruments , valuable discovery , hedging, arbitrage , risk management and wealth means a variety of functions . At present , it has become one of the most important and most successful financial instruments . Since the establishment of the Chinese stock market , the rapid development , more and more high status in the national economy , more and more important . But because it is a unilateral , lack of variety of financial derivatives market , China's stock market still is a gap away from the mature markets abroad . Finally , the CSI 300 stock index futures contract on April 16, 2010 at the China Financial Futures Exchange officially listed . The launch of the Shanghai and Shenzhen 300 stock index futures for the diversification of financial products shop to clear the road and helps improve the function and mechanism of the stock market , which opened a new chapter in China's financial markets . This article is based on research in this context , first an overview of the emergence and development of the stock index futures , stock index futures, the features, functions , and introduced the basic situation of China 's stock index futures , and then on the basis of the theory , the use of data model discussed several major types of stock index futures arbitrage trading strategy , the next on the basis of the previous analysis , combined with the actual situation of China 's Shanghai and Shenzhen 300 stock index futures arbitrage empirical analysis of arbitrage , arbitrage trading and analyzed a key link stock index selection and establishment, and concluded that the risk of arbitrage exists and gives suggestions .

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