Csi 300 Stock Index Futures Arbitrage Transactions And Risk Control

China has launched Hu-shen 300 stock index and began the simulation trade targeted on Hu-shen 300 stock index future contracts. Recently China declared that all the preparation of China's stock index future completed. As one of the three main stock index future trades, arbitrage plays an influential role. It is foreseeable that after the real launch of stock index future in China, arbitrage will be a hot issue highly concerned by investors which is mainly constitute of institutional investors and become one of the main trades of stock index future contracts. Therefore, the study on the arbitrage strategies of Hu-shen 300 stock index future contracts and the related risk control methods would be very practical and forward-looking.This paper outlined the concept, types and characteristics of arbitrage on stock index future contracts in the first chapter.Chapter 2 introduces several arbitrage strategy types commonly used worldwide like arbitrage, intertemporal arbitrage, cross-markets arbitrage, cross-species arbitrage and butterfly arbitrage.Chapter 3 gives a detail analysis in two strategies which are arbitrage and intertemporal arbitrage including the mode choice of buy and sell the spot stocks in arbitrage strategy in view of the most likely used strategies by investors in China. The paper highlights the most important factor that is the tracking -errors(TE).This chapter also gives simple analysis of other strategies application prospects in China's capital market.Chapter 4 focuses on the risks of stock index future arbitrage. The paper gives analysis of the resources of the risks and makes some suggestions of controlling the risks for the investors, brokers and the administrators. At last the conclusions are:(1) Arbitrage is indeed available in China once the stock index future launched.(2)There are three choices in the buying of the spot stock market. Among them using ETF to simulate Hu-shen 300 index is the most convenient and the costs is least. The TE is in the acceptable range.(3)Intertemporal arbitrage is available in the simulation trade on Hu-shen 300 stock index future contracts.(4)Basis on the analysis of the risks of arbitrage on stock index future in China, there are lots of risks induced by the unconsummated spot market besides common risks.(5)We can bring down the risks through a series inside and outside methods by the endeavor of investors, brokers and the administrators.