The Application Of Arbitrage Between Stock Index Futures And Closed-end Funds Discount

The average discounts of closed-end funds in China are far higher than foreign average level. Minaly because there have not any hedge mechanism on Chinese market, that invenstor can not use hedge mechanism to arbitrage on Closed-end funds and let the price return to net value of closed-end funds. Now, the arbitrage of closed-end is just became open-end funds and expiration. However, these methods are difficult to overcome the uncertainty of future expectations, investors have to bear great risks. SH300 index futures - is an urgent need for investors to hedge the risk .As HS300 index futures launch, is bound to be a lot of arbitrage funds into the market for arbitrage high-discounts closed-end funds, making discount range of closed-end funds to the normal level. High discounts closed-end funds will be a thing of the past. This paper written before the launch of HS300 index futures, and made a general reference to investors those who want to arbitrage on high-discount closed-end funds.This first chapter of the paper is exordium. The second chapter analyze the current situation of Chinese closed-end funds and then analyze the principle of the paper. The third charpter is core content of the paper. It introduce the modle of arbitrage between stock index futures and closed-end funds discount, the paper use Brown and Ito analysis the relationship between closed-end funds' unit net asset value and price, come up with the larger and smaller deviation. Useing GM(1,1) model to forecast arbitrage opportunity to buy and sell. When discount is high,buy closed-end funds and sell HS300 stock index futures;When discount is low,sell closed-end funds and sell HS300 stock index futures. Chapter IV of this paper is empirical analysis ,and comparative analysis between the non-arbitrage model and the arbitrage model, proving a good arbitrage effect.This paper is the first time established arbitrage model for the closed-end funds and HS300 index futures, and calculates the bid opportunity of arbitrage model. The paper has great significance to both closed-end funds and stock index futures.