An Empirical Research Of Alpha Strategies Arbitrage On Hushen300Stock Index Futures

Alpha arbitrage is a new concept. It means arbitrage with neutral Beta positions afterhedging the securities with stock index futures. This is just a new way to think and it cancombine with all traditional investment approaches. As the Hushen300stock indexfutures had listed for more than one year, I did an empirical research to test whether theAlpha strategy is profitable in Chinese financial market and it can also test whetherChinese market is effective. This paper did this research by behavioral financial strategyand fundamental strategy. It can be divided to five chapters:Chapter1demonstrates the background of this paper and it also abstracts the papersdomestic and abroad about momentum strategy and fundamental strategy. Mostmomentum strategy papers confirmed that momentum effect exists in most financialmarkets as long as the parameters are appropriate. All the papers about fundamentaldeemed that there are some important fundamental indexes which can obviously effect theperformance of stocks.Chapter2analyzes the basic condition of the stock index futures and alsodemonstrates the disadvantages of traditional arbitrage ways. In the future, traditionalarbitrage ways will not be effective again.Chapter3demonstrates the theory of Alpha arbitrage and analyzes some usual Alphastrategies-behavioral financial strategy, momentum strategy and others as well.Chapter4does the empirical research about Alpha arbitrage with momentum andfundamental strategies. It uses the real data from July12009to June302010. It confirmsthat the two strategies are both profitable.Chapter5analyzes the risk control of arbitrage. It points out some seriousdisadvantages about usual risk measure ways based on the normal distribution. And it alsogives many practical ways to control risk.