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 |
dc.description.provenance |
Submitted by Trish Grelot (trish.grelot@smu.ca) on 2012-10-12T18:23:47Z
No. of bitstreams: 1
liu_dongchen_mrp_2012.pdf: 2899808 bytes, checksum: 06554dc288712c5ebc0a7cfbe6b96e62 (MD5) |
en |
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.) |
|