ETF在股指期貨套利中的應用研究.pdf

1、武漢科技大學碩士學位論文ETF在股指期貨套利中的應用研究姓名：張偉申請學位級別：碩士專業(yè)：管理科學與工程指導教師：左相國20101020第II頁武漢科技大學武漢科技大學碩士論文AbstractChinahasinthisyearsApril16thsuccessfullaunchoftheShanghaiShenzhen300stockindexfuturesthisisnotonlythedevelopmentofChinassecu

2、ritiesmarketisanimptantmilestoneinChinascapitalmarkethasbeenmeprogressconstantlyabigsteptowardimproved.SincethenChinassecuritiesmarketwillcompletelychangethestatusquounilaterallywhichisthestabilityofChinasstockmarketalso

3、playedapivotalrole.Meanwhilethestockindexfuturestradingthisnewvarietywithitsuniquetradingrulesthesettlementalsocreatedmanynewprofitmodel.Amongthemthestockindexfuturesonarbitragehasbecomepopularinrecentissuesofconcerntoth

4、emarket.WhetherthecombinationofadecisiontoconstructeffectivespotarbitrageoneofthekeystosuccessbutChinadidnotspottheCSI300Indextradeproductshowtocarryoutintodaysstockmarketsimulationofastockindexfuturesonarbitrageacritica

5、lissue.ThisarticleonhowtoShanghaiShenzhen300stockindexfuturesarbitrageinthestructureofthespotasthefocusofdiscussiontoexpletheuseofETFtobuildtheShanghaiShenzhen300stockindexfuturescombinationpossibilities.Themainideaofthi

6、spaperisrelatedtostockindexfuturestheETFstartedbasictheyintroducedthebasictheyofstockindexfuturestheneedtopayattentiontotheriskofstockindexfuturesarbitragefocusedontheprinciplesmethodssothateveryoneonthisnewvarietyoftran

7、sactionshaveadeepundersting.ThenmadeadetailedanalysisofETFproductstheproducttradingintheETFtheETFarbitragemodelacteristicshasdonetherelevantresearchtheShanghaiShenzhen300IndexETFspotintheconstructsadvantage.Basedonqualit

8、ativeresearchthispapertheShanghaiShenzhen300IndexETFcrelationtrackingerrofanempiricalstudyexamined2006datasincethe1049tradingdaysfromtheresultsofviewETFcanbeverygoodSimulationoftheShanghaiShenzhen300stockindexmadea2onthe

9、useofETFindexfuturesarbitragefinstanceonceagainprovedfromthepracticalaspectsofusingtheCSI300IndexETFtosimulatethepossibilityofstockETFinthestockindexfuturesThepracticalapplicationofarbitrageoperationsrelatedrecommendatio