Essays about: "Stock Index Futures Arbitrage"

Found 1 essay containing the words Stock Index Futures Arbitrage.

  1. 1. Futures-Spot Arbitrage of Stock Index Futures in China : Empirical Study on Arbitrage Strategy

    University essay from Handelshögskolan vid Umeå universitet

    Author : XUE PENG; YU FANG; [2010]
    Keywords : Stock Index Futures Arbitrage;

    Abstract : The main purpose of this thesis is to investigate what is the optimal futures-spot arbitrage strategy for China‘s stock index futures investment. Specifically, Index replication method and no-arbitrage pricing model are examined. We compare the different combinations of ETFs portfolio in mainland China with W.I. READ MORE