Research On The Hedge And Abitrage Of The Stock Index Futures

Stock index futures has been as more and more used for risk management tools, itwas as early as first introduced in 1982 after the Kansas City exchange 30 years ago. InApril 16, 2010, China first Stock Index Futures - the Shanghai and Shenzhen 300 stockindex futures was introduced, there are already more than a year. This paper is studied instock index futures hedging and arbitrage strategies, the theory of capital market issues inthe forefront of recent research is very active, it has great practical significance. Theavailable literature has accumulated a number of theoretical tools and mathematical model,we fully learn the achievements of these as a basis to start a fairly creative independentresearch.Stock index futures, as one kind of futures, is mainly used in hedging and arbitrage.For these two aspects, I will make a systematic exposition in this article.This total is divided into four chapters, as follows:In the first, I will mainly introduce the stock index futures'development andsomething about China's CSI 300 Index futures, Including the composition of theconstituent stocks in Shanghai and Shenzhen 300, and the proportion of problems invarious industries;In the second, through analysis the process of hedging ratio, I will summarize themodel, and give the empirical analysis of the hedging process, Mainly the ratio ofoutstanding positions ;In the third, I will study the period of term arbitrage and cross-arbitrage respectively,including the arbitrage model, the determination of no-arbitrage interval, the openingpositions. And the fund management and risk management should be carried out in thearbitrage. In this chapter, I will combining the financial and computer, using acombination of C language built on the spot, and respectively empirical analysis the termarbitrage, cross period arbitrage and fund management.In the forth, it introduces the summary and structure of this article, also theimprovement. Thesis, normative analysis, summarized, empirical analysis, case studies and othermethods, fully demonstrated his point. For the newly listed stock index of Shanghai andShenzhen 300 hope to play a role.