Research On The Arbitrage And Hedge Of The Stock Index Futures

With the development of international financial market, Financial derivatives quickly develops. Stock index futures is very important for its development. Since 2006 China financial exchange come into existence the arrangement of stock index futures rapidly developed. We all wait the trade of stock index futures very much. The research of stock index futures is a focus issue at home. Under the background this paper builds mathematic model and researches all aspects of arbitrage of stock index futures with real data, analyzes the methods and principles of hedge of stock index futures.In the research of pricing of stock index futures, four kinds of pricing model of stock index futures are discussed: cost-of-carry model,HLmodel,one-factor faulty market pricing model and two-factor faulty market pricing model. They are done some empirical tests by D-J industry average index of mature market and Heng Seng index of new market. The results are that one-factor faulty market pricing model is better than other models for pricing of stock index futures both on D-J industry average index futures and Heng Seng stock index futures..In the research of building the spot portfolio of arbitrage between the spot and futures, this paper brings forward Capitalization-Adjusted-Weighted-Satratified Model and Capitalization-Adjusted-Weighted-Nonsatratified Model which accord with the stock characteristic in China. Because of affecting the arbitrage, track error must be added to the arbitrage-free interval and the arbitrage-free interval is described by index spot, and this paper brings forward a new method to describe the track error by index but not accustomed yield. Capitalization-Adjusted-Weighted-Satratified Model,Capitalization-Adjusted-Weighted-Nonsatratified Model and the Optimization Approach Model are compared in empirical tests . The conclusion of the empirical tests is that Optimization Approach Model is best to track China Securities 300(CSI 300). This paper compared the track errors of stock portfolio and ETF portfolio to trac SCI 300 and find that the track error of ETF portfolio is smaller than the track error of stock portfolio.The method of building the arbitrage-free interval is give in this paper. In the research of important parameters in arbitrage between spot and futures, this paper analyse the cash dividend of CSI 300 index, the exchange costs especially the impact cost and waiting cost in arbitrage are discussed too. In recent years, Listed Companies give cash dividend more importance and the amount of company which give cash dividend and the total cash dividend amount are increasing. The giving cash dividend is discontinuous and the amount is unfixed in China. From January to March and from October to December there is scarcely any cash dividend every year. From the analyse of impact cost and waiting cost of ETF and two most weight stocks of SCI 300, we can find that the impact cost and waiting cost of ETF is higher than its of stock.In the research of arbitrage between different delivery month futures contracts, mathematic model of Interdelivery Spread is brought forward in this paper. The chances of Interdelivery Spread in emerging market and in maturity market are analyzed, the chances of Interdelivery Spread in emerging market are also analyzed in different period. There are few chance of Interdelivery Spread in maturity market and few yield can be get. In emerging market more chances can be get and the arbitrage yield is bigger in early time than its in later time. In the discussion of spread arbitrage on different markets the paper gives the model of spread arbitrage on different markets and analyzes the arbitrage chance between TAIFEX TAIEX Index Futures and SIMEX MSCI Taiwan Index Futures.Additionally, the paper discusses the risk in spread arbitrage between CSI 300 index futures and SGX A50 index futures. The different contract rules and the change of exchange rate will bring risk to arbitrage.In the discussion of hedge the paper discusses the types and trade rules and tests the hedge ratio and hedge effectiveness with Heng Seng Stock Index Futures by using four hedge models. The test shows that the hedge effectiveness of EC-GARCH Model is best. Additionally, the paper discusses the computation method of compound arbitrage and the characteristics of multiple linear regression for compound hedge. At last, the paper discusses how the change of margin to affect hedge ratio.