Font Size: a A A

Research On The Arbitrage Of Stock Index Futures In China Under Securities Margin Trading

Posted on:2013-08-14Degree:MasterType:Thesis
Country:ChinaCandidate:Y QinFull Text:PDF
GTID:2249330395451769Subject:Financial engineering
Abstract/Summary:PDF Full Text Request
stock index future based upon stock index has three functions,these functions areprice discovery、hedging and arbitrage.Arbitrage function not only enable investors tohave income,but also the basis of stock index futures price discovery.As the short time and imperfections of securities market in china, there are a lot ofarbitrage opportunities in the market.the keys of Stock index futures arbitrage arearbitrage interval and spot portfolio of index replication,therefore determining the spotmethod,changing the no-arbitrage interval and providing investors better trade methodare significance.The article firstly explains the significance of the topic, the background and researchsituation. The text have four parts, the first part introduce the basic concepts of the stockindex futures and arbitrage.the second part discusses the model of stock index futurespricing and arbitrage interval. in order to better arbtrage,this paper carry a combinationof new financing trading, securities margin trading, and comparative analysis of twoconditions,which are use or not use securities margin trading. The third part discuss thebuilding of spot methods under theory、practice analysis and cost. The fourth part is stockindex futures arbitrage empirical, calculate the arbitrage opportunities in the April21,2010to January31,2012, and simulated normal、margin of these two differentsituations arbitrage process, draw the results of the use of margin can get more risk-freeincome. Finally,this paper give a conclusion.
Keywords/Search Tags:Stock index futures, Arbitrage, Arbitrage-free interval, Securities margintrading
PDF Full Text Request
Related items