| Kansas City Board of Trade (KCBT) launched its first stock index futures contract in 1982, after 20 years of development, stock index futures has become one of the most important financial derivative tool in the world. China Financial Futures Exchange (CFFE) has been established in Shanghai on September 8,2006, the founding of CFFE prelude to the development of stock index futures in our country. CFFE has launched HS300 index futures Simulation Trading on October 27,2006, State Council Approved the introduction of stock index futures and Margin trading in principle on January 8,2010, CFFE started accounting for investor on February 22, the ceremony of launching Stock index futures was holding in Shanghai on April 8, the first four HS300 Stock index futures contract was listing in the Financial Futures Exchange on April 16, and it marked that China launched the stock index futures officially. After the introduction of stock index, arbitrage with low risk and stable return will be pursued by investors, so, there are important practical significance researching on theory and applications of Stock Index Futures arbitrage.The paper elaborate the basic concepts of arbitrage and the types of stock index futures arbitrage, stock index futures arbitrage have five main types:Term arbitrage, spread trading, cross-market arbitrage, settlement day arbitrage and Alpha arbitrage. And the main participants of stock index arbitrage are institute investors.The key of stock index futures arbitrage is how to price the stock index futures, in the third part, the paper will introduce the cost of carry model briefly, and on this basis, will analysis the various factors which will affect the pricing of stock index futures, just like lending and borrowing rate, transaction costs and futures margin and so on, and the derive index futures arbitrage-free interval of upper and lower limits. And then we analysis the principle of spread trading through a trading strategy, and the model of spread trading.In arbitrage we need buy or sell index spot, but in fact, there is not index spot in the market. The fourth part studies the several methods of spot construction deeply, the methods of spot construction include:full replication, optimized sampling, stratified sampling, HS300 index fund portfolio and ETF portfolio and so on, Though the research we found that the cost of full replication is too high, optimized sampling and stratified sampling can achieve a good track performance to the index. HS300 index fund portfolio is a easy way to construct spot, but it is not suitable for stock index futures arbitrage because of its trading mechanisms. ETF portfolio has less cost and better tracking effect, and it is an ideal method of spot construction.In part five, we do empirical study on the index futures arbitrage, using the data of HS300 simulation trading of 2009, The study indicates that, there are large number of arbitrage opportunities during the period of simulation trading, and the arbitrage yield is very rich.Stock index futures contains high-risk, in the sixth part, we analysis the risk origin of stock index futures through the "incident of 327 bond futures", the origin contains:the uncertainty of future price, leverage, investors'non-rational, the market mechanism is unsound and policy risks, there are also risks in stock index futures arbitrage, just like:the risk of pricing, spot construction, compulsory liquidation and operational,to control the stock Futures risk, the article presents some policy recommendations.We obtain some achievements in the course of study, but there are also many problems which have not been resolved and needs further study, just like:the selection of high-frequency data, the calculations of impact cost, quantitative analysis of risk, and so on. |
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