Based On The Csi 300 Stock Index Futures Arbitrage Strategy

The Stock index futures are standardized futures contracts based on the stock index. The introduction of the Shanghai and Shenzhen 300 SIF will improve the function and mechanism of Chinese stock market and promote the maturity of the capital market of China, diversify the financial products. This paper is focused on the arbitrage strategies of the Shanghai and Shenzhen 300 SIF. This paper details the Shanghai and Shenzhen 300 SIF and its corresponding stock index. Then respectively analyzed the different arbitrage strategies of the Shanghai and Shenzhen 300 SIF, according to the category of arbitrage which contains futures-cash arbitrage, cross-contracts arbitrage, bi-cross arbitrage.The anlysis on futures-cash arbitrage is the main contents of this paper. The two core issues are mainly about the effective methods of upbuilding spot goods and upbuliding of arbitrage model. This paper makes a detailed demonstration analysis around the two core issues respectively . Based on the current study, this paper raises a new method that taking the Biaozhi Shanghai and Shenzhen ETF in Hongkong as an ideal futures-cash arbitrage tool, then makes a contrast analysis with the Mainland ETF portfolio method. In the basis of Range Pricing Model, adopting more variables into the model, this paper upbulid a new model which is more suitable for the characteristics of China's market.This paper introduces the statistical arbitrage model, and co-integration analysis method of time series data. Choose "this month" and "next moth" contracts of the Shanghai and Shenzhen 300 SIF as the demonstration analysis basis of cross-contracts arbitrage. The results of the demonstration reveals the existence of the opportunities of Shanghai and Shenzhen 300 SIF on cross-contracts arbitrage, and tests the effect of the statistical arbitrage model. With the high correlation between FTSE Xinhua A50 Index and Shanghai and Shenzhen 300 index, this paper makes a bi-cross arbitrage analysis between the FTSE Xinhua A50 SIF and Shanghai and Shenzhen 300 SIRBased on the above analysis, this paper presents some advice and prediction about the real atbitrage of Shanghai and Shenzhen 300 index futures in the future. The Shanghai and Shenzhen 300 SIF will definitely be listed in the future, although now is not yet. The purpose of this paper is to provide some advice and guidance on the arbitrage after the list of the Shanghai and Shenzhen 300 stock index futures.