ETF期现套利的可操作性分析  

作　　者：蒋绵绵 杜朝运[1,2] 杨巧玲[2] 

机构地区：[1]泉州经贸学院 [2]厦门大学

出　　处：《财经界》2013年第32期41-44,共4页Money China

摘　　要：沪深300股指期货的推出,使ETF的期现套利操作具有实践的可能。通过最小二乘法可以确认深证100ETF与上证180ETF的组合作为拟合沪深300指数的现货变量。套利成本为交易成本和跟踪误差。当股指期货的价格与ETF组合构成的现货价格之差大于套利成本时就可以进行套利操作。用当前的日数据进行实证分析表明,套利空间并不存在。原因可能与套利成本过高,以及市场存在众多套利者使得瞬间出现的套利机会立刻被发现、价格的短暂偏离得到迅速纠正有关。The arbitrage trade between exchanges traded fund(ETF)and the stock index future is available with the introduction of Hushen 300Index Futures. The paper uses OLS to regress the different portfolios of ETF and chooses Shenzhen 100ETF and Shanghai 180ETF. The arbitrage costs include tracing error of the portfolios and the cost of trading. Then it gets the non-arbitrage space through the price minus the costs. The Empirical analysis of daily data reveals that the arbitrage chance doesn 't exist for the high arbitrage costs. Another reason lies in that there are a lot of arbitragers in the investing market and the departure of the price could be corrected immediately.

关 键 词：股指期货 ETF组合 无套利区间 

分 类 号：F224[经济管理—国民经济] F832.5