论文部分内容阅读
股指期货是以股指为标的期货合约,双方约定在未来特定日期可以按照事先确定的股价指数进行标的指数的买卖。2010年4月16日推出的沪深300股指期货填补了我国金融期货的空白,发挥了期货套期保值、投机获利和价格发现的功能。本文利用沪深300股指期货的近月交易数据对于基于协整的套利策略的有效性进行检验,研究发现沪深300股指期货也存在期现套利的空间。
Stock index futures are futures contracts subject to the stock index. Both parties agree that the trading of the underlying index may be conducted according to a predetermined stock price index on a specific future date. The CSI 300 Index Futures, launched on April 16, 2010, filled the gap of China’s financial futures and played the function of futures hedging, speculative gain and price discovery. This paper tests the validity of the arbitrage strategy based on cointegration by using the trading data of the CSI 300 futures in recent months. It is found that the Shanghai-Shenzhen 300 index futures also have room for arbitrage.