Csi 300 Stock Index Futures And Etf Composite Combination Of Arbitrage Research

Currently, the research on the arbitrage of stock index futures is focused on how to use single ETF as a substitute for constituent stocks of stock index to conduct arbitrage with stock index. This operation can significantly reduce transaction costs and improve the efficiency of arbitrage. However, the current domestic research in this area is limited to use single ETF as a substitute for constituent stocks of stock index to conduct arbitrage with the Hu&Shen 300 Index Futures. But there are obvious differences between constituent stocks of those, which will increase tracking error and the risk of arbitrage. Also, the current study conducted only from the point of view that use ETF as a substitute for constituent stocks of stock index. There are no in-depth research on the correlation between the two markets.Using the references of overseas relatively mature econometrics methods and research result, this study use ETFs as substitute for constituent stocks of stock index, reducing tracking error and the risk of arbitrage, increasing the efficiency of arbitrage, solving some problems mentioned above. Meanwhile, this study conduct in-depth research on the correlation between the stock index futures arbitrage and ETF arbitrage, putting forward the concept of compound arbitrage between the Hu&Shen 300 Index Futures and ETFs. Through empirical testing, we find that compound arbitrage will greatly increase the efficiency of arbitrage. What's more, we study the factors which have great influence on the compound arbitrage, to establish a relatively complete model for compound arbitrage. The model have great significance for arbitrageurs in practical at the same time.In the chapterⅠandⅡ, We have proposed the theory of compound arbitrage, and deeply analyzed its trading mechanisms; Secondly, we construct the main equation of compound arbitrage with Hu&Shen 300 Index and ETFs; Then we have conducted an exact quantitative research and analysis on the important factors which impact the compound arbitrage; Finally, we have taken an empirical test with the model of compound arbitrage established.