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The Study Of The Shanghai 50 Stock Index Futures Arbitrage Trading Strategies

Posted on:2017-04-29Degree:MasterType:Thesis
Country:ChinaCandidate:S Z YangFull Text:PDF
GTID:2309330482999159Subject:Finance
Abstract/Summary:PDF Full Text Request
The presence of a large number of arbitrages in the stock index futures market is conducive to play the price discovery function of the futures, and accordingly contribute to the stable development of the market. In the initial listing of the Shanghai 50 stock index futures, the arbitrage trading became a means to achieve stable income. Considering the cost factors of the spot and futures transactions based upon the holding cost theory, this paper determines the no-arbitrage interval and then analyses the fluctuations of the Shanghai 50 index futures basis. The cyclical regression trends are found, the transaction processes are programmed according to the idea of statistical arbitrage, and the statistical results of the transactions are obtained. In short, arbitrage trading plays an important role in the stock index futures trading. The scientific arbitrage methods can not only bring more profits for investors, and also improve the pricing efficiency of the capital market.The paper first summarizes the theoretical knowledge concentrated on the stock index futures arbitrage pricing theory, reviews the domestic and foreign relevant researches, and introduces the research results about the Shanghai and Shenzhen 300 stock index futures, which lay a practical foundation for selecting arbitrage methods and setting parameters of the Shanghai 50 stock index futures. The trading time periods of the Shanghai 50 index futures are relatively short so that the studies of the Shanghai 50 index futures are rare. This paper chooses the Shanghai 50 stock index futures as the object of study, aiming to provide investors with diversified investment plans. In addition, in terms of the blue chip stocks, this paper provides a more reliable risk aversion tool, which compared with the shanghai and Shenzhen 300 stock index futures, can reduce the error between the arbitrage subjects.This paper selects 50 ETF as the arbitrage spot subject matter, and the corresponding month, next month, next quarter, and every quarter contracts of the Shanghai 50 index futures as the futures arbitrage subjects. Through observing the data for each subject, this paper finds that the spot and futures have convergence trends. Then, the paper uses statistical methods to process and analyze the data, and the results show that the yields of that month and that season both are significantly correlated with the spot yields. Therefore, it is one of the doable empirical methods to use the current month and quarter futures contracts as the statistical data in the algorithm trading.Then, the cost factors of the no-arbitrage interval are determined, and the no-arbitrage interval is accurately found by using the statistical approach. Forward and reverse arbitrage opportunities are observed based on the fluctuations of the futures data for that month and the season contracts. And the paper writes the programs of the forward and reverse arbitrage trading strategies with MATLAB, obtains the number and the direction of transactions, and calculate corresponding rate of return, which can provide investors with liable and stable income portfolios through comparing with the general level of interest rates in the market.
Keywords/Search Tags:The Shanghai 50 Stock index futures, Forward Arbitrage Strategies, Reverse Transactions Strategies, No arbitrage interval
PDF Full Text Request
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