Examination of Arbitrage Opportunities at Chinese Financial Market

Jingpeng Dai

Master's thesis

Anotácia:

The purpose of this thesis is to study arbitrage opportunities in Chinese financial markets and study how to use stock index futures and CSI 300ETF for arbitrage. This thesis uses a variety of arbitrage strategies to study arbitrage opportunities, such as geographic arbitrage, futures arbitrage, time arbitrage and other arbitrage strategies, and focuses on statistical arbitrage opportunities in China's financial market. This thesis uses two statistical arbitrage models, namely the least squares OLS constant volatility model and GARCH time-varying volatility model, select the 1-minute high-frequency trading data closing prices of stock index futures IF2101 and Huatai-Pinebridge CSI 300 ETF. Judging from the combination of traditional data and Sharpe ratio, using the GARCH model for forward arbitrage results is the best. Therefore, it is recommended that arbitragers prefer the GARCH model for the positive arbitrage operation, followed by the OLS model for the reverse arbitrage operation when conducting statistical arbitrage in China.

Abstract:

The purpose of this thesis is to study arbitrage opportunities in Chinese financial markets and study how to use stock index futures and CSI 300ETF for arbitrage. This thesis uses a variety of arbitrage strategies to study arbitrage opportunities, such as geographic arbitrage, futures arbitrage, time arbitrage and other arbitrage strategies, and focuses on statistical arbitrage opportunities in China's financial market. This thesis uses two statistical arbitrage models, namely the least squares OLS constant volatility model and GARCH time-varying volatility model, select the 1-minute high-frequency trading data closing prices of stock index futures IF2101 and Huatai-Pinebridge CSI 300 ETF. Judging from the combination of traditional data and Sharpe ratio, using the GARCH model for forward arbitrage results is the best. Therefore, it is recommended that arbitragers prefer the GARCH model for the positive arbitrage operation, followed by the OLS model for the reverse arbitrage operation when conducting statistical arbitrage in China.

Kľúčové slová

statistical arbitrage； positive arbitrage, reverse arbitrage, GARCH model, OLS model, Stock Index Futures, CSI 300ETF

Keywords

statistical arbitrage； positive arbitrage, reverse arbitrage, GARCH model, OLS model, Stock Index Futures, CSI 300ETF

Jazyk práce: English

Datum vytvoření / odevzdání či podání práce: 22. 4. 2022

Obhajoba závěrečné práce

• Obhajoba proběhla 23. 5. 2022
• Vedúci: Tomáš Tichý
• Oponent: Aleš Kresta

VSB – Technical University of Ostrava

Ekonomická fakulta

Master programme:
Finance