| Arbitrage is one strategy of investmentors' in financial market. It helps risk aversion in the futures market and has been widely used by international funds and institutions.Based on the previous applied studies, this article systematizes the mechanism of arbitrage transaction, different arbitrage strategies and relevant theories. This article also constitutes the basic structure of operation model about Cross-time arbitraging and Cross-term arbitraging of stock index future. This article exemplifies CSI 300 emulation futures contract, S&P 500 index futures and Hang Seng Index futures contract for empirical studies. In addition, this article also analyses the feasibility of cross-market arbitraging between FTSE A50 index futures and the Chinese mainland A-share market.It is proved by empirical studies that the stock index future arbitrage model in the paper is practicable, and it could bring substantial arbitrage return. First, in the study of Cross-time arbitraging, this article brings about estimation methods for total cost in two-way. Then the empirical studies by CSI 300 index showed that the total cost for arbitrage was 1.9986%. And the other empirical study by CSI 300 emulation futures contract IF0903 shows that investors can be able to acquire arbitrage earnings of 12.9394%, from arbitrage's beginning in Jan.14, 2008 to the expiration of the contract in Mar. 20, 2009. Second, in the study of Cross-term arbitraging, this article makes empirical tests by S&P 500 index futures and Hang Seng Index futures contract, and analyzes no-arbitrage spread. Then this article analyzes long (short) arbitrage opportunities and arbitrage profit (loss) as well.Finally, this article summarizes the main outcome of empirical research, and puts forward advices for follow-up study. That will provide theoretical basis and empirical foundation for institutional investors to operate Cross-time arbitrage strategy, and the results of the analysis has strong practicality. |
PDF Full Text Request