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Analysis of Index Future-spot Arbitrage Strategy

Author: YuBo
Tutor: LiangBing
School: Shanghai Jiaotong University
Course: Business Administration
Keywords: index future-spot arbitrage index replication tracking error arbitrage risk
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 163
Quote: 0
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Abstract


The purpose of this article is to provide an operable index future-spot arbitrage solution for Chinese investors through the investment strategy analysis on index arbitrage.From the theoretical side, by drawing the flow chart of the arbitrage operation, we can have an overview of index future-spot arbitrage; calculate the up and lower boundaries and get the theoretic space of arbitrage; derive the formula of optimal ratio of reserved cash for future margin, with which, investors can maximize the efficiency in the use of capital under a certain risk level.From the empirical side, we summarize the ratio of transaction cost, impact cost and futures margin in futures market and spot market of China; then calculate and verify the proper result of reserved cash for future margin; suggest different type investors to choose different risk-free interest rates; through the analysis of dividends of component stocks of HS300 index from 2009-2010, calculate monthly dividend yield and suggest to focus on cash dividends of every June and July; choose trading targets of index future-spot arbitrage, emphatically state the structure of spot target, and analyze the pros and cons of ETF replication and constituent stock replication strategies; to address the risks in index future-spot arbitrage and find the countermeasures.With the summaries of all stated points, give solutions of index future-spot arbitrage for different capital scale investors.

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