Theoretical And Empirical Study On Cross Market Arbitrage Of Stock Index Futures

The spread between A shares and H shares has been one of the issues for a long time. Since the stocks in two markets can not be exchanged, there exists some differences between A shares price and B shares price even after currency exchange. So some methods are expected to be obtained to make profit in our paper.This paper selected JiaShi QDII LOF and Hong Kong China Enterprises Index future to construct portfolio and compute the hedge ratio in order to illustrate the proportion of investment in the two markets. In this way, we can minimize risk and maximize the utility of portfolio, and we give their properties.