Calendar Spreads in China Stock Index Futures
Ronald T. Slivka
NYU Poly - Department of Finance and Risk Engineering
International Monetary Fund (IMF)
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
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: 8Accepted Paper Series
Date posted: April 25, 2011
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