摘要
为研究反向市场中股指期货跨期套利策略,本文通过协整检验确认价格序列间的长期均衡关系,建立平价关系式,推导无套利区间,并根据合约价差与无套利区间上下限的关系制定不同的套利策略.利用沪深300股指期货的真实交易数据做实证分析,结果表明：沪深300股指期货在反向市场中存在套利机会,但与推行之初相比,其套利机会减少,套利空间缩小.
To study the calendar spread arbitrage strategies of stock index futures in inverted market, this paper confirms the long- term equilibrium relationship between price sequences through co -integration tests and sets a price parity equation. The arbitrage - free interval is thus derived and different arbitrage strategies are made according to the relationship between contract price difference and the upper and lower limit of arbitrage - free interval. Based on the real data of CSI300 stock index futures, this paper makes an empirical analysis. The results show that there exist some arbitrage opportunities for CSI300 stock index futures in inverted market. However, the arbitrage opportunities decline and the arbitrage space reduces compared with the time when the stock index futures are first introduced.
出处
《商丘师范学院学报》
CAS
2017年第3期1-6,共6页
Journal of Shangqiu Normal University
基金
国家自然科学基金资助项目“基于数据包络分析的环境效率分析评价方法及其应用研究”(11301001)
大学生创业创新项目“基于智能遗传算法与支持向量机的生态文明建设体系的研究”(201510378050)
