摘要
本文就股票市场与股指期货市场之间的套利机会与套利利润进行了研究,运用持有成本模型对股指期货进行定价,根据股指期货合约的理论价值与市场交易成本,测算无套利区间。本文完整地展现和实证了利用沪深300股指期货和ETF组合进行期现套利的全过程,发现目前模拟的股指期货合约走势基本运行在无套利区间之外,套利利润空间巨大。
In this paper, on the basis of the pricing model of stock index futures and calculation of transition cost, we have found out the arbitrage area. The paper, also gave the empirical arbitrage process between ShangHai ShenZhen 300 index futures and ETFs of indexs, And then we have put forward the risk of ShangHai ShenZhen 300 index futures arbitrage in China.
出处
《经济管理》
CSSCI
北大核心
2008年第11期87-91,共5页
Business and Management Journal ( BMJ )
关键词
沪深300股指期贷
套利
套利边界
ShangHai ShenZhen 300 index futures, arbitrage, arbitrage area
