China Stock Index Futures Arbitrage Trading And Risk Control Study

This article is an applied study, discusses the arbitrage transaction and risk control of the domestic stock index future market. Based on the previous applied studies, this article systematizes the mechanism and risk control of arbitrage transaction by a logical progressive sequence of what is stock index future, what is arbitrage transaction, what is the stock index future arbitrage, how to proceed the stock index future arbitrage, the conditions for stock index future arbitrage, the assessment of opportunities in stock index future arbitrage, the risk factors in stock index future arbitrage, the risk control of stock index future arbitrage. This article also compares and learns from the current Chinese and overseas theories and applied studies of arbitrage, raises the risk control measures on major risk factors, so as to constitute the basic structure of the operation model and risk control of Chinese stock index future arbitrage transaction.It is proved by the empirical studies that the stock index future arbitrage model of CSI 300 established by this article is definitely feasible, which achieves considerable arbitrage rate of return in the simulated transactions. If the positive arbitrage opportunities take place, the capital contribution per minute is equal, the arbitrage position is closed upon the near-month settlement, and therefore, the arbitrage rate of return may be 42.65% for the period from August to December 2007 (inclusive), equivalent to the annual rate of return 102.36%.This article in the end summarizes the main conclusion of the research and raises the suggestions on the following research and policy. The conculsion is that stock index future arbitrage will benefit the pricing efficiency of stock index future and thus become a brand-new profit model of low risk. Policy support will be necessary for encouraging the stock index future arbitrage, whereas the supervision on arbitrage risks should at the same time strengtherned.