| 沪深300股指期货期现套利的可行性研究——基于统计套利模型的实证 |
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| 引用本文： | 马理,卢烨婷.沪深300股指期货期现套利的可行性研究——基于统计套利模型的实证[J].财贸研究,2011,22(1):88-93. |
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| 作者姓名： | 马理 卢烨婷 |
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| 作者单位： | 武汉大学经济与管理学院,湖北,430072 |
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| 摘 要： | 从期现套利的基本思路出发,论证利用股指期货进行期现套利的可行性。实证表明,采用沪深300股指期货仿真交易的数据,并选择沪深300指数中权重排名前10的一篮子股票组合作为现货组合,运用基于误差修正模型(ECM)的统计套利技术,可以实现股指期货的无风险套利。
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| 关 键 词： | 股指期货 期现套利 统计套利模型 |
Feasibility Study on Arbitrage of CSI-300 Stock Index Futures:Empirical Research Based on Statistical Arbitrage Model |
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| MA Li,LU Ye-ting.Feasibility Study on Arbitrage of CSI-300 Stock Index Futures:Empirical Research Based on Statistical Arbitrage Model[J].Finance and Trade Research,2011,22(1):88-93. |
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| Authors: | MA Li LU Ye-ting |
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| Institution: | MA Li LU Ye-ting(School of Economics and Management,WuHan University,Wuhan 430072) |
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| Abstract: | According to the basic theories of arbitrage,this paper discusses the feasibility of arbitrage in the Stock Index Futures Market.By using the data in simulated transactions of CSI-300 stock index futures and choosing top ten stocks as stock portfolio according to the weight in the index,based on Error Correction Model and statistical-arbitraging analysis,the research shows that riskless arbitrage is possible in stock index futures. |
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| Keywords: | stock index futures arbitrage statistical-arbitraging model |
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