| SIF, with the full name stock index futures, is one kind of futures depending on the stock index. It is a standard contract of buyers and sellers' agreement on the stock index exchanging according to their promissory stock prices on special time in the future. Investors can't avoid system risk of the stock market easily by holding one or more stocks. However, investors can avoid system risk effectually with SIF. In the field of SIF, they can make hedging and spread trading between different futures agreements. which is another investing method for them.In this thesis, a method of spread trading was mainly discussed. Because they represent current, next and the following two months, IF0710,IF0711,IF0712 and IF0803 contracts were selected. After studying futures agreements' theoretic purchase money and the rules of their differences, also combining the developing direction of HS300 index, an excellent spread trading pair could be chose. Then, by detecting this pair's VaR, the risk was controlled effectively and then spread trading was completed.Research on the speculative spread of arbitrage portfolio is the key of this thesis. Furthermore, the periodic spread of arbitrage portfolio was also discussed. Nowadays, researches on arbitrage portfolio are only limited to the periodic spread. Research on the speculative spread fills up this vacancy. In premises of effectively controlling risks, it makes full use of spread trading to maximize the trading returns. |
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