Arbitrage opportunities in CSI 300 stock-index futures market

Liu, Dongchen

dc.contributor.advisor	Ye, George
dc.coverage.spatial	China
dc.creator	Liu, Dongchen
dc.date.accessioned	2012-10-12T18:23:47Z
dc.date.available	2012-10-12T18:23:47Z
dc.date.issued	2012
dc.identifier.uri	http://library2.smu.ca/xmlui/handle/01/24721
dc.description	1 online resource (vi, 209 leaves) : ill.
dc.description	Includes abstract and appendices.
dc.description	Includes bibliographical references (leaves 28-29).
dc.description.abstract	The purpose of this study is to test whether arbitrage opportunities exist in Chinese stock-index (CSI 300) futures market and whether arbitrage opportunities is related to futures duration. Stock-index futures were introduced to Chinese financial market for two years and arbitrage opportunities exist in stock-index futures market in 2010 and 2011. The cost of carrying model is used as fundamental model to price futures and this model is modified to a no-arbitrage opportunities interval which can be used for detecting arbitrage opportunities. Based on my study, arbitrage opportunities still exist in 2012 and the longer the futures duration the more arbitrage opportunities in futures contracts.	en_CA
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dc.description.provenance	Made available in DSpace on 2012-10-12T18:23:47Z (GMT). No. of bitstreams: 1 liu_dongchen_mrp_2012.pdf: 2899808 bytes, checksum: 06554dc288712c5ebc0a7cfbe6b96e62 (MD5)	en
dc.language.iso	en	en_CA
dc.publisher	Halifax, N.S. : Saint Mary's University
dc.title	Arbitrage opportunities in CSI 300 stock-index futures market	en_CA
dc.title.alternative	Arbitrage opportunities in Chinese stock index 300 stock-index futures market
dc.type	Text	en_CA
thesis.degree.name	Master of Finance
thesis.degree.level	Masters
thesis.degree.discipline	Finance, Information Systems, & Management Science
thesis.degree.grantor	Saint Mary's University (Halifax, N.S.)