Arbitrage with CSI 300 stock index futures : an analysis

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dc.contributor.advisor Ye, George
dc.creator Mi, Xue
dc.date.accessioned 2016-01-15T14:48:17Z
dc.date.available 2016-01-15T14:48:17Z
dc.date.issued 2015
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/26446
dc.description 1 online resource (41 p.) : ill.
dc.description Includes abstract
dc.description Includes bibliographical references (p. 41).
dc.description.abstract Based on the cost of carry model for futures pricing, this paper discussed the arbitrage-free interval in China spot-futures arbitrage trading market. The cases we analyze are the arbitrage between CSI 300 futures contract and the Huatai-PineBridge CSI 300 ETF, Harvest CSI 300 ETF based on the 1-minute high frequency data for 20 days. We find that the CSI 300 index futures’ forward arbitrage opportunities do exist; however, they are related to the costs of the arbitrage capital. Compared to Huatai-PineBridge CSI 300 ETF, Harvest CSI 300 shows more arbitrage opportunities and a higher rate of return. This efficiency difference is a result of the subscription and redemption mode and trading mechanism of the two ETFs. The results indicate that China stock market is not fully efficient, although the mispricing duration is short. en_CA
dc.description.provenance Submitted by Greg Hilliard (greg.hilliard@smu.ca) on 2016-01-15T14:48:16Z No. of bitstreams: 1 Mi_Xue_MRP_2015.pdf: 744666 bytes, checksum: 0e9c23a454882615c400fb1db549ed72 (MD5) en
dc.description.provenance Made available in DSpace on 2016-01-15T14:48:17Z (GMT). No. of bitstreams: 1 Mi_Xue_MRP_2015.pdf: 744666 bytes, checksum: 0e9c23a454882615c400fb1db549ed72 (MD5) Previous issue date: 2015-09-10 en
dc.language.iso en en_CA
dc.publisher Halifax, N.S. : Saint Mary's University
dc.title Arbitrage with CSI 300 stock index futures : an analysis en_CA
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.)
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