A Study On The Time Diffrernce Between Structured Fund And It’s Underlying Stock Index Movement

As an innovative structured investment products, in 2007, the Classification Funds released in China, which injected new vitality for the capital market that is in the doldrums in that time. The substance of the Structured Fund is a leveraged fund, based on the traditional investment funds, According to income level and dedication, the Structured Fund include Preferred share (Structured Fund A), which means a lower risk rating and a stable income, and Aggressive share (Structured Fund B),which has a higher risk to get residual income distribution.Based on those above qualities, Structured Fund rapidly developed in the capital market, at the same time, the investors are also looking for a different perspective about the new direction of investment Structured Fund. At present, the research about the arbitrage investment market analysis of the Classification divided into two parts:1) based on the classification of funds’"paired conversion" mechanism of discount \ premium arbitrage analysis; 2)the arbitrage analysis combined the Structured Fund and other investment vehicles. However, in practice, as a leveraged investment, Structured Fund B, having Priority to share the nature of financing, are more favored by the market and investors, Unfortunately the research in this direction was relatively lacking.Due to the current Structured Fund exist in the market are mostly Index classification fund, So in this research, select the Index classification fund B shares were studied as an object. In the course of the research, drawing on previous studies about the jet lag between the stock index futures and stock index, we imagine that the relationship between B shares subject to its stock are similar to the relationship between the stock index futures and stock index, therefore, we hypothesized that that exist time difference between the index Structured Fund B with its Subject index, Further, we established a theoretical model, then,we use the actual data to verify it, and Implement further explore about its related investment strategy, thus enriching the investment grade fund market.First of all, this section introduces the background and significance of this research, the development process specific of the Structured Fund in the domestic and overseas, the relevant basic knowledge of the Structured Fund, as well as the structured arbitrage fond that exist in our country currently.Secondly, this part combined with previous studies, we proposed a bold hypothesis that exists time difference between the index structured fund B and its underlying stock index. Then we established a theoretical model and empirical analysis,to get that there indeed exist time difference between structured fund B with its underlying stock index and structured fund B shares in the price guide with the underlying stock index has an absolute advantage.Finally, the empirical results are summarized, and the corresponding investment strategies are proposed.