Research On Arbitrage Strategy Of Structrued Fund And Empirical Test

The arbitrage strategy of structured fund in china is absence,and the exsiting arbitrage trategy is traditional discount and premium arbitrage.In reference to foreign advanced experience of financial innovation,structured fund market in China began in 2007 and so far.Its unique paired transformation mechanism and conversion mechanism are has been a popular topic of public for investors to provide a variety of investment possibilities.Futhermore,arbitrage is one of the options for investors to earn higher returns.However,the current arbitrage strategy is based on the paired transformation mechanism.It can help investors get high returns,but brings the risk of delay and other issues to the investors because arbitrage is T+n.While in December 2014 and March 2015,Shanghai Stock Exchange and Shenzhen Stock Exchange,respectively,achieve the listing of the basic shares of structured fund and enact the new rules,making T+0 arbitrage can be achieved.And the current research on the arbitrage strategy under the conversion mechanism is rarely involved.Therefore,this paper studies the arbitrage strategy of the structured fund based on the paired transformation mechanism and the conversion mechanism.First of all,based on the understanding of the related knowledge of the structured f'und and the research on the related fields,this paper analyzes the relationship between the paired transformation mechanism and the conversion mechanism in the structured fund market from three aspects:the development of the structured fund market,the trading mechanism and the arbitrage opportunity.Get the conclusion that the arbitrage is feasible.Secondly,it explores the arbitrage strategies under the paired transformation mechanism and the conversion mechanism,analyzes the arbitrage principle and the risk factors,and constructs the arbitrage strategy.Finally,there are two kinds of ideas of the arbitrage strategy under the paired transformation mechanism,which are the traditional arbitrage strategies and T+0 arbitrage strategy.The arbitrage strategy under the conversion mechanism mainly has three strategies.Then,through the MATLAB software to write the arbitrage strategy program code,the use of 2007 to July 2016 of 220 group strctured fund dayily market data as a sample for historical backtesting,the results show that all arbitrage strategies are feasible.Finally,according to the research process of arbitrage strategy,the relevant policy suggestions and investment suggestions are put forward.The research not only helps investors invest strctured fund properly,but also provides some reference for the government to guarantee the long-term healthy development of the structured fund market.