Design and Analysis of an Innovative Arbitrage Strategy: Bridging Stock Index Futures and Cross-border ETFs
Author:
Affiliation:
1. School of Automation, Guangdong University of Technology, China
2. School of Integrated Circuits, Guangdong University of Technology, China
Publisher
ACM
Link
https://dl.acm.org/doi/pdf/10.1145/3675417.3675568
Reference5 articles.
1. Do different time horizons in the volatility of the US stock market significantly affect the China ETF market?
2. Do ETFs Improve the pricing efficiency of the A-share market—examining ETF holdings of individual stocks
3. Large-Scale ETF Purchases and the Cross-Section of Equity Prices: Evidence of the Portfolio-Balance Channel
4. Kimie Harada and Tatsuyoshi Okimoto. 2021. The BOJ's ETF purchases and its effects on Nikkei 225 stocks. International Review of Financial Analysis 101826. https://doi.org/10.1016/J.IRFA.2021.101826.
5. The Collateral Risk of ETFs
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