论文部分内容阅读
股指期货和ETF基金是我国资本市场现有交易品种,投资者分别通过股指期货或ETF可进行套利交易。股指期货的特点是高杠杆性;ETF的特点是价值稳定﹑流动性高。本文通过对上证50ETF和沪深300股指期货历史交易数据进行分析,发现两者都是非平稳时间序列数据,因此利用协整检验,发现二者具有长期均衡的协整关系,进而构建协整模型,证明沪深300股指期货与上证50ETF基金可以进行复合套利,并得出二者回归模型。
Stock index futures and ETF funds are the current trading varieties in China’s capital market. Investors can make arbitrage transactions through stock index futures or ETF respectively. Stock index futures are characterized by high leverage; the ETF is characterized by stable value and high liquidity. This paper analyzes the historical transaction data of Shanghai Stock Exchange 50 ETF and Shanghai-Shenzhen 300 Stock Index and finds that both are non-stationary time-series data. Therefore, using the co-integration test, we find that the two have long-term equilibrium co-integration relationship, It proves that CSI 300 Index Futures and SSE 50 ETF Fund can carry out compound arbitrage, and draw the regression model between the two.