| 中国概念股指期货跨市场套利研究——基于沪深300指数、H股指数、新华富时A50指数期货的实证分析 |
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| 引用本文： | 邹强.中国概念股指期货跨市场套利研究——基于沪深300指数、H股指数、新华富时A50指数期货的实证分析[J].财贸研究,2012,23(4):112-119. |
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| 作者姓名： | 邹强 |
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| 作者单位： | 复旦大学经济学院,上海,200433 |
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| 摘 要： | 针对沪深300指数、H股指数、新华富时A50指数期货,给出确定投资比例、选择投资时机及度量投资风险的方法,对中国概念股指期货的跨市场套利机会进行研究,结论显示:中国沪深300股票指数与周边市场的中国概念股票指数之间存在着普遍关联性,并且这种关联性可以转化为套利机会。实证结果表明:当1:0.836546作为A50股指期货与H股股指期货的持仓比时,可以得到最优套利结果。
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| 关 键 词： | 股指期货 跨市场套利 风险度量 |
Arbitrage Strategy between Stock Future Markets Related to China:On the Stock Index Futures of CSI300, FTSE A50 and HSCEI |
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| ZOU Qiang.Arbitrage Strategy between Stock Future Markets Related to China:On the Stock Index Futures of CSI300, FTSE A50 and HSCEI[J].Finance and Trade Research,2012,23(4):112-119. |
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| Authors: | ZOU Qiang |
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| Institution: | ZOU Qiang(School of Economics,Fudan University,Shanghai 200433) |
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| Abstract: | Based on the Stock Index Futures of CSI300,FTSE A50 and HSCEI,this paper studies arbitrage opportunities between stock future markets related to Chinese stocks and proposes the method to determine the investment ratio,to select the opportunity and to measure the risk.The study proves the applicability of the arbitrage strategy between CSI300,HSCEI and FTSE A50,and empirically get to the result that the best arbitrage ratio is 1 to 0.836546 between A50 and HSCEI.As the cross-market arbitrage is a risky investment,the risk with the method of VAR is measured. |
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| Keywords: | stock index future cross market arbitrage measure of risk |
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