金融教育研究
金融教育研究
금융교육연구
JOURNAL OF JIANGXI FINANCE COLLEGE
2012年
5期
44-49
,共6页
沪深300ETF%套利机会%差异性%实证分析
滬深300ETF%套利機會%差異性%實證分析
호심300ETF%투리궤회%차이성%실증분석
CSI 300 ETF%arbitrage opportunity%differential%empirical analvsis
文章分析了持有成本套利方法与协整套利方法的优劣性，并基于沪深300ETF对两期现套利方法做了实证分析，结果发现：协整套利方法比持有成本套利法的适用范围更广，更能发掘套利机会。这与现有的基于仿真数据和其它ETF数据所得的结论一致。同时，基于协整套利方法发现，华泰柏瑞沪深300ETF的套利机会较小，而嘉实沪深300ETF的套利机会较大。
文章分析瞭持有成本套利方法與協整套利方法的優劣性，併基于滬深300ETF對兩期現套利方法做瞭實證分析，結果髮現：協整套利方法比持有成本套利法的適用範圍更廣，更能髮掘套利機會。這與現有的基于倣真數據和其它ETF數據所得的結論一緻。同時，基于協整套利方法髮現，華泰柏瑞滬深300ETF的套利機會較小，而嘉實滬深300ETF的套利機會較大。
문장분석료지유성본투리방법여협정투리방법적우렬성，병기우호심300ETF대량기현투리방법주료실증분석，결과발현：협정투리방법비지유성본투리법적괄용범위경엄，경능발굴투리궤회。저여현유적기우방진수거화기타ETF수거소득적결론일치。동시，기우협정투리방법발현，화태백서호심300ETF적투리궤회교소，이가실호심300ETF적투리궤회교대。
This article compares the differential of the cost - of - carried arbitrage methodology and cointegra- tion - based statistical arbitrage strategy, and makes an empirical analysis on both ETFs. This research findings indicate that cointegration - based statistical arbitrage strategy has greater scope of applicability and enjoys a bigger arbitrage opportunity. This comes exactly with the same conclusion based on simulation trading data and other ETF statsits. Meanwhile, on the base of cointegration - based statistical arbitrage strategy, Huatai - PineBridge CSI 300 thus has a smaller chance to fulfill arbitrage,while Harvest CSI 300 enjoys a much bigger opportunity.
