Abstract

http://ssrn.com/abstract=1820583
 
 

Citations (2)



 


 



Calendar Spreads in China Stock Index Futures


Ronald T. Slivka


NYU Poly - Department of Finance and Risk Engineering

Xin Li


International Monetary Fund (IMF)

Yikai Zhang


NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering

April 1, 2011

Journal of Indexes, pp. 42-48, May/June 2011
NYU Poly Research Paper

Abstract:     
The successful functioning of global stock index futures markets depends heavily upon the efficient execution of two essential recurring transactions: calendar spreads and stock index arbitrage. In the final weeks preceding a futures expiration calendar transactions dominate order flow in a dramatic fashion making economical execution of critical importance for the health of the market. As frequent and familiar as calendar spread orders are there is surprisingly little written about these essential futures transactions. For China's CSI 300 futures there is no literature at all. Using recent CSI 300 futures data this article seeks to address the central characteristics of calendar spreads and the important uses for this transaction type in China's newest futures market. Establishing the legitimacy of this type of order in CSI 300 futures along with suitable margin controls is essential to ensuring the willingness of both domestic and foreign investors to seek participation in China's important growing capital market.

Number of Pages in PDF File: 8

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Date posted: April 25, 2011  

Suggested Citation

Slivka, Ronald T. and Li, Xin and Zhang, Yikai, Calendar Spreads in China Stock Index Futures (April 1, 2011). Journal of Indexes, pp. 42-48, May/June 2011; NYU Poly Research Paper . Available at SSRN: http://ssrn.com/abstract=1820583

Contact Information

Ronald T. Slivka (Contact Author)
NYU Poly - Department of Finance and Risk Engineering ( email )
Brooklyn, NY 11201
United States
2153213524 (Phone)
Xin Li
International Monetary Fund (IMF) ( email )
700 19th Street, N.W.
Washington, DC 20431
United States
Yikai Zhang
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering ( email )
Brooklyn, NY 11201
United States
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