股指期货的跨期套利研究——模拟股指市场实证

The Analysis of Index Futures Spread Arbitrage:An Empirical Analysis on Simulative Market

股指期货具有价格发现功能,而大量套利者的存在,是价格发现功能能够实现的基础。在我国目前还不具备跨市场套利与跨品种套利的条件,本文主要就股指期货的跨期套利进行分析,利用模拟期货市场的数据进行实证,以供投资者进行股指期货套利时参考。

Price discovery is a function of stock index futures. The existence of huge number of arbitrageurs is the foundation of actualizing the price discovery function. Spread arbitrage in different markets and different sorts of agreement is not suitable for Chinese market now, this article mainly discusses about the stock index futures spread arbitrage in agreements of which the maturity is different, the data of the empirical analysis is quoted from the simulate index futures market. The paper finally provides some advices to investors in index futures spread arbitrage.