| Recently, construction of spot portfolios becomes one of key steps in the futures-spot arbitrage of stock index futures. An effective spot portfolio will not only capture arbitrage opportunities in time and increase arbitrage returns, but also promote the function of price discovery more effectively. Therefore the research on the construction of spot portfolios has important practical significance. In this paper, we will study the construction of spot portfolios in the futures-spot arbitrage of stock index futures by the method of index tracking.First, this paper reviews the development and the acutility of research on index tracking domestic and abroad. Then, we summarize the characteristics of stock index futures arbitrage and spot portfolios, in which we points out that the spot portfolios for arbitrage should be not only with good tracking effect but also with high liquidity. Based on that principle we build an optimization model which will be used in the following part. In the empirical analysis part, we construct two kinds of spot portfolios. One is replicated by component stocks of Hu-Shen 300 Security Index (HSSI300), the other is replicated by ETF. We compare the tracking effect among those portfolios. Finally we compare the tracking effect of spot portfolios based on two different optimization algorithms.In this study, we have got the following results:First of all, the portfolios constructed by optimization replication with industry stratified have a better stability in tracking effect than the portfolios constructed by optimization replication without industry stratified.Secondly, as the situation of liquidity improved, the tracking effect does not obviously deteriorate, so it is possible and necessary to improve the liquidity of spot portfolios.Finally, compared to the spot portfolios replicated by ETF, the spot portfolios replicated by component stocks have a better tracing effect to track HSSI300. |
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