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

Arbitrage Strategy between Stock Future Markets Related to China:On the Stock Index Futures of CSI300,FTSE A50 and HSCEI

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。

Based on the Stock Index Futures of CSI300, FTSE A50 and HSCEI, this paper studies arbi- trage opportunities between stock future markets related to Chinese stocks and proposes the method to deter- mine the investment ratio, to select the opportunity and to measure the risk. The study proves the applicabil- ity 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.