Research On Hedge And Arbitrage Strategies Of Stock Index Futures

Futures contract is a standardized contract between two parties to buy or sell a specified asset of standardized quantity and quality at a specified future date at a price agreed today. And exchange will specify these items. The underlying of stock index future is index future, and stock index future has almost 30 years history. China releases the stock index futures in April 16th,2010.Stock index future will have big effect on the Chinese stock market. It can short and also it is a tool for risk management. Research should be done on how to use stock index future and the reasonable hedge ratio. Also, arbitrager is the important participant of the market and provides liquidity to the market, so we should study the strategies of arbitrager. Stock index future is product with huge risk, so risk management is very important.We have four parts in this thesis, and the structure and details are as follows:In the first part, we give the background of stock index future. Because it is the first time that China release stock index future, we should know the background of stock index future. We will introduce the calculation method of stock index first, and study the important characters of China major stock market index, give the detail calculation method of HS300. Then we give some background of stock index future and short rules.In the second part, we mainly discuss hedge methods. How to give the hedge ratio is the core problem. In Chapter 2, we summary the estimation methods of hedge ratio, and use HS300 simulation stock index future data to compare. In Chapter3, we consider the expiration effect and the asymmetry of return, and use ADCCX-GARCH model to calculate the hedge ratio, we also study "Samuelson" effect in this Chapter. In Chapter 4, we use combination of exponential weight to calculate the hedge ratio, we summary the problems in the hedge process.In the third part, we discuss the strategies using stock index futures. In Chapter 5, we study the arbitrage strategy, which include spot-future arbitrage and calendar arbitrage. We use LARS-lasso to construct the spot portfolio in the arbitrage, and consider the early unwind and roll over strategies. We only use simulation data to introduce the calendar arbitrage. In Chapter 6, we study the portable Alpha strategies, we use variable selection method to choose factors, use holdings concentration to study the close-ended-fund, and also discount of close-ended-fund. These are all strategies after stock index futures.In the fourth part, we introduce risk management in the stock index future market, and summary the whole thesis. In Chapter 7, we introduce the risk management rules of HS300 index future, and introduce how LCH.Clearnet manage the risk of central counter party, we use suggestions of CPSS/IOSCO to value the CFFEX. And at last, introduce the SPAN system.