ETF套利交易中股指期货套期保值理论与对策研究——基于光大证券“8·16乌龙”事件

A research on the theory and countermeasure for stock index futures hedging of ETF arbitrage——based on the Everbright Securities' “8·16 fat finger” event

作为资本市场上重要的基础金融衍生产品,股指期货为投资者应对市场风险提供了不可或缺的对冲工具。本文基于光大证券"8·16乌龙"事件,对ETF套利交易中股指期货套期保值进行了文献综述和理论分析,最后提出ETF套利交易中股指期货套期保值的操作对策。

As the basic financial derivative products in the capital market, Stock Index Futures Hedging provided for investors essential hedging tools responding to market risks. Based on the Everbright Securities＇ ＂8 · 16 fat finger＂ event, the paper made a literature review and theoretical analysis on Stock Index Futures Hedging of ETF Arbitrage. Finally, the operation measures were raised on Stock Index Futures Hedging of ETF Arbitrage.