The main purpose of this thesis is to investigate what is the optimal futures-spot arbitrage strategy for China‘s stock index futures investment. Specifically, Index replication method and no-arbitrage pricing model are examined. We compare the different combinations of ETFs portfolio in mainland China with W.I.S.E-CSI 300 ETF in Hong Kong in three aspects including liquidity level, correlation of ETFs with underlying index, and tracking error of the replication methods. Then, we add several new parameters into interval pricing model to obtain a more accurate no-arbitrage band. As a result, we found that the portfolio of SSE 50 ETF, SZSE 100 ETF, and SSE Bonus ETF could provide the best tracking effect of CSI 300 Index, with different weight as 0.369, 0.403, and 0.19 in turn separately. Furthermore, the new modified pricing model could find out more arbitrage opportunities than interval pricing model especially for reverse cash-and-carry arbitrage. On the whole, the optimal arbitrage strategy for investment on CSI 300 Index futures consist of two steps, implement ETFs portfolio replicate CSI 300 Index and using new modified pricing model to discover and define arbitrage opportunities then to apply futures-spot arbitrage. At the end of thesis, we also give a small case study to illustrate how to exercise the arbitrage strategy in realistic situation.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:umu-34919 |
| Date | January 2010 |
| Creators | PENG, XUE, FANG, YU |
| Publisher | Umeå universitet, Handelshögskolan vid Umeå universitet, Umeå universitet, Handelshögskolan vid Umeå universitet |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
Page generated in 0.0019 seconds