ETF在股指期货套利中应用研究.pdf

第II 页 武汉科技大学硕士论文 Abstract China has in this years April 16th successful launch of the Shanghai and Shenzhen 300 stock index futures, this is not only the development of Chinas securities market is an important milestone in Chinas capital market has been more progress, and constantly a big step toward improved. Since then, Chinas securities market will completely change the status quo unilaterally, which is the stability of Chinas stock market also played a pivotal role. Meanwhile, the stock index futures trading this new variety, with its unique trading rules and the settlement also created many new profit model. Among them, the stock index futures on arbitrage has become popular in recent issues of concern to the market. Whether the combination of a decision to construct effective spot arbitrage one of the keys to success, but China did not spot the CSI 300 Index trade products, how to carry out in todays stock market simulation of a stock index futures on arbitrage a critical issue. This article on how to Shanghai and Shenzhen 300 stock index futures arbitrage in the structure of the spot as the focus of discussion to explore the use of ETF to build the Shanghai and Shenzhen 300 stock index futures combination possibilities. The main idea of this paper is related to stock index futures and the ETF started basic theory, introduced the basic theory of stock index futures and the need to pay attention to the risk of stock index futures arbitrage focused on the principles and methods, so that everyone on this new variety of transactions have a deep understanding. Then made a detailed analysis of ETF products, the product trading in the ETF and the ETF arbitrage model characteristics has done the relevant research, the Shanghai an