沪深300股票指数期货期现套利机制研究

Research on Index Arbitrage of Shanghai and Shenzhen 300 Index Futures

通过分析股指期货推出的必要性及其与期限套利机制的关系,探讨了由于投资者非理性、交易成本高昂、缺乏300ETF产品、交易制度障碍和外汇管制带来的期现套利障碍,有针对性地提出了完善期现套利机制的政策建议。

We analyzed the necessary of index futures going on market and its relation to index arbitrage mechanism. We explored the obstacle of index arbitrage brought by non-reasonable of investors, high cost of trade, lack of 300ETF, trade system obstacle and foreign exchange regulating, and put forward some related policy suggestions.