Analysis of three risks in stock index arbitrage Market
In the cross market Shanghai Shenzhen 300etf arbitrage, investors can not ignore three major risks, namely, the risk of cash substitution of Shenzhen stock market, the risk of cross market trading rules and the market risk during arbitrage period.
First of all, Shenzhen stock market cash substitution risk. Huatai Bairui Hushen 300etf is listed on the Shanghai Stock Exchange. The stocks in Shanghai can be purchased naturally, but the stocks in Shenzhen can not be exchanged. Cash substitution is necessary.
However, there are some uncontrollable cost factors in the process when Huatai Bairui fund management company buys Shenzhen stock market stocks on behalf of it. Compared with the whole arbitrage assets, the proportion may not be very high, but the arbitrage space of investors is not large, but the impact cost may be higher. For example, when the stock market suddenly soars, a large number of bills need to be handed over to the fund company to buy, which means that the cost will increase; on the contrary, when the stock market suddenly drops sharply, it is also risky to hand over to the fund company to sell.
Secondly, the risk of cross market trading rules. Huatai Bairui Shanghai Shenzhen 300etf can seize the opportunity of return of intraday spread, but investors should not ignore the different trading systems of Shanghai and Shenzhen stock markets.
An obvious example is the call auction in the last three minutes of Shenzhen Stock Exchange, and the performance of CSI 300 index in the last three minutes can not reflect the expectation of rising or falling of Shenzhen stock market.
If an investor applies for Huatai Bairui Hushen 300etf at 2:57 p.m., the fund company will participate in the final 3-minute call auction with the investor's money. If it cannot be bought on the same day, it can only buy it the next day. Different trading rules bring certain risks.
Third, the market risk during arbitrage. The vast majority of participants in Huatai Bairui Hushen 300etf adopt day arbitrage, so the market risk to be borne is not large.
Jiashi Hushen 300etf purchase is "t + 2" to the account, the market risk during the arbitrage period is relatively obvious, so the general arbitrage investors will not take this risk. Investors need to hedge the risk through the stock index futures or Jiashi CSI 300etf into the margin trading.