중국주가지수선물시장의 차익거래 기회와 현-선물 가격간의 인과관계에 관한 실증적 연구

Title
중국주가지수선물시장의 차익거래 기회와 현-선물 가격간의 인과관계에 관한 실증적 연구
Authors
장가기
Keywords
중국주가지수선물시장의차익거래기회와현선물가격간의인과관계에관한실증적연구
Issue Date
2011
Publisher
인하대학교
Abstract
This paper investigates the efficiency of CSI300 index futures’ market (specifically, the possibility of arbitrage opportunity) and the dynamic relationship between the future market and cash market. 2010 is a historic year as China finally launched stock index futures’ trading after several years’ preparation and practical trading. Undoubtedly this historic launch marked a significant milestone in China’s way on making its mainland capital market more professional and less speculative. Under such background, we conducted this empirical study with the purpose of understanding more about the “infant market” of China and offering valuable preference or warning to the first investors who enter this market firstly. Empirical results show that during the period from the inception of the futures market’s launch, April 16, 2010 to October 15, 2010(6 months), there are significant deviation between the market prices and theoretical prices of futures contracts. By comparing the market prices and the boundaries of arbitrage, it is observed that arbitrage opportunities exist in the early market and the frequency of arbitrage opportunity and the size of the profit that may be gained from arbitrage activities are different between institution investors and normal individual investors due to the discrepancy in transaction costs. The second empirical test is designed to analyze the causal relationship between the spot and futures market. Results show that currently spot market dominates the futures market with weak evidence. Due to the short time period used for the empirical tests, there are many limitations with this paper, and further researches need to be conducted with longer period and intraday data (ex, 5-minute interval or 10-minte interval) in order to have a much sounder grip of the early Chinese stock index market.
Description
I.Introduction 1.Futures Markets in China 1 2.China Stock Index FuturesContracts:CSI300 4 ①Introduction of the CSI300 Futures Contract 4 ②Design of CSI300 Futures Contracts 6 ③Trading Rules 7 3.Research Topics and Structure of the Thesis 10 II.Literature Review 1.Studies on Futures Market Efficiency 12 2.Studies on Lead-lag Relationship between the Spot and Futures Market 14 III.Arbitrage Opportunities in CSI300 Futures Market 1.The Fair Price of Futures Contracts 17 2.Data 22 3.Results 27 IV.A Casual Relationship Between CSI300 Spot and Futures Markets 1.Model and Methodology 44 2.Results 46 V.Conclusion 1.Concluding Remarks 51 2.Limitations and Future Research Directions 52 Reference 54 Appendix 57
URI
http://dspace.inha.ac.kr/handle/10505/22019
Appears in Collections:
College of Business Administration (경영대학) > Business Administration (경영학) > Theses(경영학 석박사 학위논문)
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