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Research on Application and Demonstration of Stock Index Futures Arbitrage

Author: GuoDeMing
Tutor: FengLiangZhi
School: Anhui University
Course: Finance
Keywords: Stock index futures Duration of arbitrage Intertemporal arbitrage Spot build Risk control
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 937
Quote: 2
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Abstract


After 20 years of development since the 1982 Kansas Futures Exchange launched the first stock index futures contracts, stock index futures has become one of the world's most important financial derivatives. September 8, 2006, the China Financial Futures Exchange (hereinafter referred to as the gold in the) set up in Shanghai, the establishment of the gold in the opened a prelude to the development of China's stock index futures. Gold in the CSI 300 index futures was launched on October 30, 2006. January 8, 2010, the State Council approved in principle by the introduction of stock index futures and margin trading, gold in the official launch of stock index futures account on February 22, China's stock index futures launch ceremony held in Shanghai on April 8, April 16 the date of the first batch of four CSI 300 Index futures contracts at the China Financial Futures Exchange was officially listed for trading, which marked the formal launch of stock index futures. After the introduction of stock index futures, the risk of low yields stable stock index futures arbitrage will become investors chase hot, therefore, has a strong practical significance and Prospects significance for the study of the theory and application of stock index futures arbitrage. Elaborated the arbitrage basic concepts as well as the type of stock index futures, stock index futures arbitrage deadline arbitrage, spread arbitrage and cross-market arbitrage balance sheet date arbitrage and Alpha arbitrage several participants to institutional investors in stock index futures Lord. The study's key stock index futures arbitrage is how the pricing of stock index futures, the third part of this paper briefly describes the cost of ownership model, and the basis of cost of ownership model, a detailed analysis of the impact of stock index futures correct pricing kinds of factors, such as the borrowing rate, transaction costs, futures margin derived upper and lower limits of stock index futures arbitrage-free interval; through a trading strategy and analysis of cross-arbitrage principle, to further draw intertemporal arbitrage model. The need to build a spot in the arbitrage process combination to replace the index stock, the fourth chapter on several the spot building program carried out in-depth research. Spot to build a full replication method to optimize the replication method, stratified sampling replication method, several of the CSI 300 Index Fund and ETF combination method. The high cost of full replication method in practice is rarely used to optimize replication method and stratified sampling method can achieve good index tracking the CSI 300 Index Fund due to the trading mechanism is not suitable to be used to build the index spot, ETF combination method to track the error is small, it is an ideal spot to build a program. The fifth part of the use of the CSI 300 Index the simulation trading data, the empirical research on stock index futures arbitrage, arbitrage model relates to the selection of various parameters, to enable it to meet the reality of our country. Empirical Analysis of found during simulation trading, stock index futures contracts, there is a lot of arbitrage opportunities, and the arbitrage yield is also very lucrative. Stock index futures arbitrage is not without risk, combination in the sixth part of \policy recommendations. Through this research has yielded some results, but there are still some issues need further research, such as the use of daily data, rather than the high-frequency data, impact the calculation of the cost, and risk quantification.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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