Futures-Spot Arbitrage of Stock Index Futures in China : Empirical Study on Arbitrage Strategy
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 Ch...
| Main Authors: | , |
|---|---|
| Format: | Others |
| Language: | English |
| Published: |
Umeå universitet, Handelshögskolan vid Umeå universitet
2010
|
| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-34919 |