Title: Feasibility Study on Arbitrage of CSI-300 Stock Index Futures:Empirical Research Based on Statistical Arbitrage Model
Abstract: According to the basic theories of arbitrage,this paper discusses the feasibility of arbitrage in the Stock Index Futures Market.By using the data in simulated transactions of CSI-300 stock index futures and choosing top ten stocks as stock portfolio according to the weight in the index,based on Error Correction Model and statistical-arbitraging analysis,the research shows that riskless arbitrage is possible in stock index futures.
Publication Year: 2011
Publication Date: 2011-01-01
Language: en
Type: article
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot