A Study Of Inter-temporal Arbitrage From Stock Index Futures And Its Margin Level

Stock index futures have become one of the most successful futures products in the international futures market, and play an important role in that. China has madder nearly a decade of elaborate preparation, then the own stock index futures were pushed out in the April 16th, 2010, what named the CSI 300 Index futures Contracts. With the function of price discovery, hedging, speculative arbitrage and others, stock index futures will further make up the deficiency of stock market, and fill up the bank of management means of systematic risk; it will change the status of stock market what is short of avoiding systemic risk tools. The appearance of CSI 300 Index futures Contracts means the end of the Chinese unilateral market, and investors have a short tool in a real sense, which will affect the entire financial industry and the business of all the participants directly as well as have a major impact on self-brokerage sector in China investment strategy and means. Besides to short, Investors can also use stock index futures to achieve several investment strategies, such as hedging, arbitrage of now, inter-temporal arbitrage, etc.In this paper, the author adopts stock index futures contracts IF1005, IF1006, and IF1009 transaction price data series, and makes a proof-test for inter-temporal arbitrage model's effectiveness and practicality based on the co-integration theory; meanwhile analyzes the three contracts between the inter-temporal arbitrage conditions. The study sample data come from the real market transaction data, and research results are more practical value. At the same time, the inter-temporal arbitrage model that adopted in this paper is based on coordination theory, which is more effective than the cross-holding costs of arbitrage theory in the past. It is uniqueness of this paper.During the process of inter-temporal arbitrage, the size of the margin of stock index futures contracts play a crucial role in cross-margin arbitrage portfolio returns. Another innovation of this paper is making an enactment of margin level of inter-temporal arbitrage. Based on the introduction and review on three popular methods and models in the world, setting CSI 300 Index futures as the object, this paper makes an empirical study based on the advantage of setting margin level of inter-temporal arbitrage in EGARCH model. This study can provide more scientific and rational method of margin setting for the mature markets of Shanghai and Shenzhen 300 stock index futures to take a more dynamic margin; and offers a theoretical reference and empirical basis for founding the dynamic margin system of inter-temporal arbitrage.