Advertisement
Published in:
2013 | OriginalPaper | Chapter
54. Empirical Analysis of Stock Futures Arbitrage
Author : Chang Li
Published in: Proceedings of the 2nd International Conference on Green Communications and Networks 2012 (GCN 2012): Volume 3
Publisher: Springer Berlin Heidelberg
Activate our intelligent search to find suitable subject content or patents.
Select sections of text to find matching patents with Artificial Intelligence. powered by
Select sections of text to find additional relevant content using AI-assisted search. powered by
Abstract
Along with the development of the financial markets in China, stock index futures play an important role gradually in arbitrage, which contributes to the equilibrium pricing of stock index futures. This paper reviews Cost of Hold pricing model to determine arbitrage-free interval and gives an empirical analysis of the arbitrage of the CSI 300 stock index futures to reveal that there are widespread arbitrage opportunities in securities market of China. This paper begins with the simulation of the spot portfolio combination and then studies the Listed Open-Ended fund and ETF fund. Based on analysis of the 5-month data and no-arbitrage interval, we give a concrete arbitrage operation to put the arbitrage strategy in practice. At the end of the article, we give analysis of existing problems in stock index futures markets and put forward corresponding solutions so as to build a prosperous and stable financial market.