Arbitrage opportunities in CSI 300 stock-index futures market

Show simple item record

dc.contributor.advisor Ye, George
dc.coverage.spatial China
dc.creator Liu, Dongchen
dc.date.accessioned 2012-10-12T18:23:47Z
dc.date.available 2012-10-12T18:23:47Z
dc.date.issued 2012
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/24721
dc.description 1 online resource (vi, 209 leaves) : ill.
dc.description Includes abstract and appendices.
dc.description Includes bibliographical references (leaves 28-29).
dc.description.abstract The purpose of this study is to test whether arbitrage opportunities exist in Chinese stock-index (CSI 300) futures market and whether arbitrage opportunities is related to futures duration. Stock-index futures were introduced to Chinese financial market for two years and arbitrage opportunities exist in stock-index futures market in 2010 and 2011. The cost of carrying model is used as fundamental model to price futures and this model is modified to a no-arbitrage opportunities interval which can be used for detecting arbitrage opportunities. Based on my study, arbitrage opportunities still exist in 2012 and the longer the futures duration the more arbitrage opportunities in futures contracts. en_CA
dc.language.iso en en_CA
dc.publisher Halifax, N.S. : Saint Mary's University
dc.title Arbitrage opportunities in CSI 300 stock-index futures market en_CA
dc.title.alternative Arbitrage opportunities in Chinese stock index 300 stock-index futures market
dc.type Text en_CA
thesis.degree.name Master of Finance
thesis.degree.level Masters
thesis.degree.discipline Finance, Information Systems, & Management Science
thesis.degree.grantor Saint Mary's University (Halifax, N.S.)


Files in this item

 
 

This item appears in the following Collection(s)

Show simple item record