| 股指期货与封基的对冲套利工具的设计 |
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| 引用本文： | 张亚斌,王国娇.股指期货与封基的对冲套利工具的设计[J].济宁师范专科学校学报,2014(1):107-109. |
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| 作者姓名： | 张亚斌 王国娇 |
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| 作者单位： | [1] 济宁职业技术学院 财务处 [2] 山东天恒信会计师事务所济宁分所 ,山东济宁 272000 |
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| 摘 要： | 封闭式基金的高折价一直诱惑着投资人,但在目前市场的低迷行情下,净值的下跌风险阻碍了投资人对折价收益的套利。本文研究了封闭式基金与股指期货的对冲套利策略,结果显示,利用封基与股指期货的对冲组合,可以让投资人获得套利收益,并将最大损失控制合理范围内。
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| 关 键 词： | 股指期货 封基 套利 设计 |
Design of Carry Tool of Stock index futures and Sealing Base Hedge |
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| Zhang Yabin,Wang Guojiao.Design of Carry Tool of Stock index futures and Sealing Base Hedge[J].Journal of Jining Teachers College,2014(1):107-109. |
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| Authors: | Zhang Yabin Wang Guojiao |
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| Institution: | Zhang Yabin, Wang Guojiao |
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| Abstract: | High discount of closed-end funds have always tempting investers. But under the present market downturn, the risk of the drop in net worth hindered the investors to arbitrage the discount earning. This article studied the strategies of hedge of closed-end funds and Stock index futures. The result shows that the use of the hedge portfolio of closed-end funds and Stock index futures can bring benefits to the investers and make the biggest loss in a rasonable range. |
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| Keywords: | stock index futures closed-end funds hedge design |
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