Study On Index Arbitrage Strategy Of China's Hs300 Stock-Index Futures

China's new financial derivatives-HS 300 stock-index futures contracts officially list on April 16,2010, it brings arbitrage opportunities to the investors going after absolute returns. This paper studies on China's HS300 stock-index futures, mainly probe into the Index Arbitrage strategy of stock-index futures. The research aims at solving several key problems in the implementation of Index-Arbitrage strategy, and controlling the risk factors in Index-Arbitrage. Finally, a new adaptive Index-Arbitrage model is constructed and the validity is proved by empirical research through using the simulated and real transaction data.By combining China's stock-index futures operation situation, this paper takes several factors into consideration such as the tracking error, transaction cost, spot cost and dividend yield, and put these variables to the new Index-Arbitrage model to construct a much more suitable Index-Arbitrage model for China's HS300 stock-index futures. Additionally, this paper compares and analyzes three methods for constructing spot stocks combination, the result shows that using index constituent is superior to ETF combination and completely copy in spot stocks construction through the simulated data's empirically research.Using simulation and the real trading high frequency data of every 5 minutes as empirical research object to examine the arbitrage opportunities and the arbitrage yield, the result shows that in the simulation the positive arbitrage average yield is 8.23% in every period and the sum yield is up to 49.39%, the reverse arbitrage average yield is 6.26% and the sum yield is up to37.56%. At the same time, the total arbitrage yield of the real trading market is 12.30%. Additionally, the empirical study found that the mispricing rate is above 90% in the simulation trading and real trading, and pricing efficiency of China's stock-index futures is not good.In the end of this paper the main research conclusions are summarized, and then some measures to control the risk and a few policy suggestions on Index Arbitrage of China's HS300 Stock Index Futures are put forward. To ensure the healthy and stable development of stock index futures, the relevant departments should pay attention to constantly perfect the futures market mechanism and create the mature environment to encourage investors to participate in the futures arbitrage, at the same time, much more attention should be paid to strengthen the investors'education system and improve the qualified investors systems. Additionally joint supervision mechanism should be actively promoted and eventually improve the pricing efficiency of the stock-index futures.