Risk Analysis for Stock Index Futures Hedging Strategy

摘要：

　　As for the stock index futures market with frictions, such as transaction cost, different deposit and loan interest rates, margin, settlement cost and impact cost, this paper considers above factors which impact the price of stock index futures on the basis of the basic principle of non-arbitrage and sets up a non-arbitrage pricing model for stock index futures.Results show that: According to the principle that actual price will return to non-arbitrage range, risk of long hedging strategy will increase when stock index futures price passes through the upper bound of non-arbitrage range, and the risk is greater if the time of this situation is longer and depth is larger; Conversely, risk of short hedging strategy will increase when stock index futures price falls lower than the lower bound of non-arbitrage range.This method provides a reference about risk analysis for stock index futures hedgers.

关键词： stock index futures pricing arbitrage risk control

作者: Jiang Fan Liu Hailong

作者单位: China Lixin Risk Management Research Institute, Shanghai Lixin University of Commerce ; Antai Colleg Antai College of Economics & Management, Shanghai Jiaotong University

会议类型: 国际会议

会议名称: The 4th Conference on Chinas Economic Operation Risk Management(2010·Shanghai)(第四届中国立信风险管理论坛)

会议地点: 上海

会议语种:英文

页码: 83-86

在线出版日期: 2010-10-14（万方平台首次上网日期，不代表论文的发表时间）