The Empirical Study on Arbitrage Position Proportion of Stock Indez Futures and Spot

摘要：

This article use measurement model to conduct the empirical study on arbitrage position proportion of the Hang Seng stock index futures. The study shows that varied arbitrage position proportion have the remarkable difference to expected returns and variance. The same position proportion of Hang Seng stock index arbitrage is not most superior considered portfolio profits and risk. The results of GARCH model is best under the smallest risk calculated the position proportion.

关键词： Stock Indez Futures Futures Spot Arbitrage Arbitrage Position VEC

作者: LONG Ruyin QU Lin

作者单位: School of Management, China University of Mining and Technology, Xuzhou, Jiangsu, P.R.China, 221116

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-6

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）