Chinese Institutional Investors In Stock Index Futures Arbitrage Strategy Of Selective Research

With Stock-index futures listing period approaching in China, our concern on that is rising continuously. Stock-index futures derivatives have functions of hedging, speculative arbitrage, price discovery and etc. which directly affect all participants related to those business in the entire financial industry. Because it introduces short mechanism, it would have an important impact on investment strategies and means for self-brokerage departments. Stock-index futures would provide financial instruments of financial institutional investors and make these institutions to explore new profit models in accordance with the theoretical framework.Arbitrage trading of stock-index futures is a new profitable model worth studying. It means traders make transaction at the same time by using of temporary unreasonable price relationship on the same or related assets. When such kind of relationship is narrowing or disappear, arbitrageurs would do contrary trade so that he could gain with no risk.This article is divided into five chapters. The first chapter mainly discusses the background and significance, research ideas, the main contents and opinions, measures, innovation and lack. The second chapter focuses on basic principles of stock-index futures arbitrage strategy and comparison on the concept, the type and characteristics, pricing theory and the basic model and evaluated and revised that. Chapter III focuses on the usage by domestic and foreign institutional investors and compare the two major institutional investors. Chapter IV focuses on basic conditions of institutional investors in China, selection of stock index futures arbitrage strategy verify that efficiency and analyze Cost-efficiency and yields. Chapter V are the conclusions and recommendations, the author find more opportunities in early period than ripe period by researching stock-index futures arbitrage opportunities inside and outside and benefits space. It's more arbitrage opportunity in Shanghai and Shenzhen 300 Index in future, even could be said with a windfall earnings. Intertemporal arbitrage find more opportunities in early period, however, the yield spread is lower. Therefore, I recommend institutional investors focus on the current period intertemporal arbitrage and arbitrage which are key strategies in the future of the Shanghai and Shenzhen 300 index and management should give support on policies. Index futures arbitrage is beneficial for market and the Government should carry as much as possible to create a good environment to support it.