Csi 300 Index Futures Hedging And Arbitrage Of Applied Research

April 16,2010, the CSI 300 Index futures will be officially listed for trading, China's securities market will usher in a new historical stage.Stock index futures as an important risk management and asset allocation tools, which have liquidity, timeliness and economy of a mature financial market in foreign countries to get the full practice. The first chapter is the introduction, describes the significance of topics and research ideas, and summarizes the innovation of this paper. In the second chapter outlines the origin and development of stock index futures and stock index futures, the main function. Then discusses the basic principles of stock index futures hedging and classification was carried out. In this part of the final, analysis of the principle stock index futures arbitrage, and deduced the theory of stock index futures pricing model for the later in-depth study of the CSI 300 Index futures hedging and arbitrage strategies prepared.This chapter begins with an overview of the Shanghai and Shenzhen 300 index and its futures contracts. Next on the Shanghai and Shenzhen 300 Index Futures Applied research, make the Shanghai and Shenzhen 300 index futures to hedge achieve good results, first need to determine the optimal hedge ratio.According to hedge this portfolio to deduce the optimal hedge ratioβ, then the least square method described in detail the process of solvingβ. Then, in the study on the basis of the relevant literature, summarized the use of the Shanghai and Shenzhen 300 index futures to hedge the basic steps.Then for the market for hedging misunderstandings, through quantitative analysis to study the effect of hedging evaluation. Finally, the example discusses the use of the CSI 300 Index futures to hedge the specific application process and illustrate the evaluation of the effect of hedging is analyzed.This chapter is about the application of 300 index futures arbitrage strategy analysis. This section first analyzes stock index futures arbitrage in the empirical application of mature market research, and for the application of the CSI 300 Index futures arbitrage, using multiple regression methods to solve the Shanghai and Shenzhen 300 stock index replication. On this basis, summarized using the CSI 300 Index futures for hedging interest method of application of the steps, and then analyzed with an example the CSI 300 Index futures arbitrage specific application. Finally, the shortcomings of traditional arbitrage, statistical arbitrage using this method to study the Shanghai and Shenzhen 300 Index futures arbitrage between the application of different contracts.The last part of the Basis-depth analysis of the impact of factors, and on this basis, try to use on the Basis of the analysis to further select the precise application of hedging and arbitrage operation time, it was the CSI 300 Index futures hedging and timing arbitrage strategy provides a new perspective. Finally, the CSI 300 Index futures hedging and arbitrage sets of the application process some problems may exist, the corresponding policy recommendations.