[1]丁挺立.沪深300ETF期现套利机会差异性实证分析[J].金融教育研究,2012,(05):44-49.
　Ding Tingli.An Empirical Analysis of CSI 300 ETF Cash -Futures Arbitrage Opportunity Differentials[J].,2012,(05):44-49.
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沪深300ETF期现套利机会差异性实证分析()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2012年05期
页码:
44-49
栏目:
出版日期:
2012-10-31

文章信息/Info

Title:
An Empirical Analysis of CSI 300 ETF Cash -Futures Arbitrage Opportunity Differentials
作者:
丁挺立;
江西财经大学信息管理学院,江西南昌,330013
Author(s):
Ding Tingli
关键词:
沪深300ETF; 套利机会; 差异性; 实证分析
Keywords:
CSI 300 ETF;  arbitrage opportunity;  differential;  empirical analvsis
分类号:
F830
文献标志码:
A
摘要:
文章分析了持有成本套利方法与协整套利方法的优劣性,并基于沪深300ETF对两期现套利方法做了实证分析,结果发现:协整套利方法比持有成本套利法的适用范围更广,更能发掘套利机会。这与现有的基于仿真数据和其它ETF数据所得的结论一致。同时,基于协整套利方法发现,华泰柏瑞沪深300ETF的套利机会较小,而嘉实沪深300ETF的套利机会较大。
Abstract:
This article compares the differential of the cost - of - carried arbitrage methodology and cointegra- tion - based statistical arbitrage strategy, and makes an empirical analysis on both ETFs. This research findings indicate that cointegration - based statistical arbitrage strategy has greater scope of applicability and enjoys a bigger arbitrage opportunity. This comes exactly with the same conclusion based on simulation trading data and other ETF statsits. Meanwhile, on the base of cointegration - based statistical arbitrage strategy, Huatai - PineBridge CSI 300 thus has a smaller chance to fulfill arbitrage,while Harvest CSI 300 enjoys a much bigger opportunity.

参考文献/References:

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　DING Yulan.The Comparative Study of CSI 300 ETF Fitting Results---Based on Huatai - PineBridge CSI 300 and Harvest CSI 300 ETF[J].,2014,(05):34.
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更新日期/Last Update: 1900-01-01