1, tracking error risk of spot portfolio;
2. The establishment and liquidation of spot positions and future positions face liquidity risks;
3. The risk of extra margin;
4. The risk of dividend uncertainty and whether the pricing model of stock index futures is effective.
Faced with these risks, if the arbitrage rate of return after considering risks is higher than other investment trading opportunities, spot arbitrage activities may occur. Therefore, the risks faced by arbitrage and the expected rate of return will affect the efficiency of arbitrage activities and the degree of deviation between futures and spot spreads.
Tips: The above contents are for reference only.
Reply time: 2021-10-18. Please refer to the latest business changes announced by Ping An Bank in official website.
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