Empirical Analysis of Stock Futures Arbitrage
Along with the development of the financial markets in China, stock index futures play an important role gradually in arbitrage, which contributes to the equilibrium pricing of stock index futures. This paper reviews Cost of Hold pricing model to determin
- PDF / 215,836 Bytes
- 7 Pages / 439.37 x 666.142 pts Page_size
- 76 Downloads / 213 Views
Empirical Analysis of Stock Futures Arbitrage Chang Li
Abstract Along with the development of the financial markets in China, stock index futures play an important role gradually in arbitrage, which contributes to the equilibrium pricing of stock index futures. This paper reviews Cost of Hold pricing model to determine arbitrage-free interval and gives an empirical analysis of the arbitrage of the CSI 300 stock index futures to reveal that there are widespread arbitrage opportunities in securities market of China. This paper begins with the simulation of the spot portfolio combination and then studies the Listed Open-Ended fund and ETF fund. Based on analysis of the 5-month data and noarbitrage interval, we give a concrete arbitrage operation to put the arbitrage strategy in practice. At the end of the article, we give analysis of existing problems in stock index futures markets and put forward corresponding solutions so as to build a prosperous and stable financial market. Keywords Stock index
Arbitrage Empirical analysis
54.1 The Research Background 54.1.1 Introduction Along with the development of modern finance, financial derivative is gradually becoming an important part of the financial market. As one of the derivatives, stock index futures have a rapid development in nearly 30 years [1]. Since Kansas C. Li (&) Guanghua School of Management, Peking University, Beijing 100871, China e-mail: [email protected]
Y. Yang and M. Ma (eds.), Proceedings of the 2nd International Conference on Green Communications and Networks 2012 (GCN 2012): Volume 3, Lecture Notes in Electrical Engineering 225, DOI: 10.1007/978-3-642-35470-0_54, Ó Springer-Verlag Berlin Heidelberg 2013
445
446
C. Li
futures exchange (KCBT) launched value line index futures contract in 1982, the international stock index futures have a continual development. It is the shortest derivative in financial history while has the fastest growing. After the 1990s, stock index futures are introduced in many countries, greatly enriching the financial market and providing multiple investment options for the investors [2].
54.1.2 Stock Index Futures Review Stock index futures are traded in terms of number of contracts. Stock index futures refer to agreements to buy or sell a standardized contract of stock index on a future date at a specified price determined by both sides. Stock index futures share the features of two financial products: stocks and futures. However, there still exists an extreme difference between the stock and futures. First, the stock index futures are different from common stocks. We could easily notice that stock index futures have a specific holding period, forced margin deposit system and the fixed futures exchange. It allows short sales and executes T ? 0 deal, which reflects highly speculative and risky feature. Second, the stock index futures are different from the general futures [3]. It is the underlying assets of stock index. Meanwhile, the price of stock index futures is united and public. Therefore, it overcomes the pro
Data Loading...
