沪深300股指期货与ETF的期现套利  

A Research of Future-spot Arbitrage between CSI 300 Stock Index Future and ETF

作　　者：蔡文娟[1] 肖秀娟[1] 

机构地区：[1]华中师范大学经济与工商管理学院,湖北武汉430079

出　　处：《贵州商业高等专科学校学报》2015年第2期11-15,共5页Journal of Guizhou Commercial College

摘　　要：沪深300指数期货自2010年推出以来,有相当多的学者利用其进行套利研究。由于与之相匹配的现货很少,通常选择上证180ETF和深证100ETF来复制现货。2012年,随着嘉实沪深300ETF、华泰柏瑞沪深300ETF、华夏沪深300ETF的推出,股指期货套利有了更好的现货选择。本文在股指期货理论价格的基础之上将各种成本考虑在内并推出无套利区间,然后利用不同的现货ETF分析中国金融交易所期货合约IF1501与现货之间的套利机会,并进行套利实战演练。最后对套利结果进行简单的解读并对沪深300ETF推出的现实意义做一个总结。CSI 300 index future was launched in 2010, since then, a considerable number of scholars use it for arbitrage research. Owing to the lack of matching spot, they usually choose Shangha/180ETF and Shenzheng 100ETF to replicate the spot. However, stock index futures arbitrage has a better choice with the inception of Jiashi and Huatai CSI 300ETF in 2012. In this paper, based on the theoretical price of stock index futures and every kind of cost taken into consideration, the authors induce the no arbitrage interval, and then analyze the chance of arbitrage between IF1501 and different kind of spot based on different ETF. Last, taking practical examples for the arbitrage and make a brief interpretation of the results as well as summarize the imoortance of the launch of CSI 300ETF.

关 键 词：期现套利 嘉实沪深ETF 华泰柏瑞沪深ETF 无套利区间 

分 类 号：F830.9[经济管理—金融学]