NDLI: Empirical research of CSI-300 stock index futures arbitrage strategy

Content Provider	IEEE Xplore Digital Library
Author	Bai Shi-qi Sun Wen-jun
Copyright Year	2014
Description	Author affiliation: Sch. of Manage., Harbin Inst. of Technol., Harbin, China (Bai Shi-qi; Sun Wen-jun)
Abstract	With the development of financial market, the share price index futures has been an important tool for investors to make profits in the financial market. There is more and more research on share price index futures, especially pricing models of the futures. In this paper, we combine the cost-of-carrying model with some factors of the real market in China to improve the cost-of-carrying model, so that this model can be more suitable to Chinese futures market. In addition, we test the effectiveness and the profits of the original model and the improved model respectively based on the CSI (China Securities Index) 300 stock futures market. The improved model is more effective than the original one according to empirical results and results show that investors can make more profits by adopting the improved model .
Starting Page	1326
Ending Page	1332
File Size	345812
Page Count	7
File Format	PDF
ISBN	9781479953752
ISSN	21551855
e-ISBN	9781479953769
DOI	10.1109/ICMSE.2014.6930384
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2014-08-17
Publisher Place	Finland
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Upper bound Economic indicators cost-of-carrying model Pricing Predictive models cash and carry arbitrage strategy Security Indexes risk-free arbitrage interval reverse cash and carry arbitrage strategy Contracts
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

Notice of RetractionResearch on CSI 300 index futures arbitrage

Modeling and empirical studies of calendar spread arbitrage of real-time CSI 300 stock index futures

CSI 300 Stock Index Futures to Launch an Empirical Research on A-Share of the Spot Market Pricing Efficiency and Operating Efficiency Influence

Study on price boundary and portfolio tracking of CSI 300 index

Arbitrage opportunities in CSI 300 stock-index futures market

An empirical study of calendar spread arbitrage based on high-frequency data: The case of CSI 300 index futures

THE COST-OF-CARRY FORMULA TO DETERMINE FUTURES PRICES: HOW WRONG CAN YOU BE?

An Empirical Study of China's Financial Stock Index Futures Effect on Stock Spot Market Based on CSI 300

Study on Stock Index Futures’ Mean Reversion Effect and Arbitrage in China Based on High-Frequency Data

Empirical research of CSI-300 stock index futures arbitrage strategy

Similar Documents

Notice of RetractionResearch on CSI 300 index futures arbitrage

Modeling and empirical studies of calendar spread arbitrage of real-time CSI 300 stock index futures

CSI 300 Stock Index Futures to Launch an Empirical Research on A-Share of the Spot Market Pricing Efficiency and Operating Efficiency Influence

Study on price boundary and portfolio tracking of CSI 300 index

Arbitrage opportunities in CSI 300 stock-index futures market

An empirical study of calendar spread arbitrage based on high-frequency data: The case of CSI 300 index futures

THE COST-OF-CARRY FORMULA TO DETERMINE FUTURES PRICES: HOW WRONG CAN YOU BE?

An Empirical Study of China's Financial Stock Index Futures Effect on Stock Spot Market Based on CSI 300

Study on Stock Index Futures’ Mean Reversion Effect and Arbitrage in China Based on High-Frequency Data

Empirical research of CSI-300 stock index futures arbitrage strategy