2012•Unpublished venueRequires access

Stock index futures arbitrage based on the ETF portfolio

Fang Zhao-ben

Abstract

Considering the portfolio of the underlying index of HuaAn Shangzheng 180ETF and E Fund Shenzheng 100ETF as spot and bringing transaction costs and tracking error into arbitrage cost,no-arbitrage boundaries of the HS300 stock index future were build.By empirical study of arbitrage opportunity of two main contracts,IF1005 and IF1102,it was found that two main contracts both have arbitrage opportunities with only unilateral arbitrage opportunities.Arbitrage opportunities of IF1005 are more than those of IF1102 obviously.Finally some investment advices based on the results were given.

About this research paper

What this paper is about

Why it matters

OpenAlex reports 1 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Key concepts: Index arbitrage, Arbitrage, Risk arbitrage, Fixed income arbitrage, Convertible arbitrage, Portfolio, Financial economics, Transaction cost