The Empirical Study On The Arbitrage Of Hu-shen 300 Index Futures

With the launch of Hu-shen 300 Stock Index Futures on April 16,2010, the first financial futures was born in China's capital market. Hu-shen 300 Stock Index Futures is the only financial instruments of hedging stock market's systemic risk in China's capital market. It's become the objects of urgent need to understand for the broad investors. Arbitrage is a basic operating strategy in financial markets, the goal is to circumvent price volatility risk, gain stable investment income.Based on the previous applied studies, this article expoundes the concept of stock index futures and the core mechanism of arbitrage trading as well as the basic principle. with Cross-time arbitrage as the starting point, this article deduce the stock index futures price formulas through the use of no arbitrage pricing method,and deduce the formular of No-arbitrage interval bounds through the cash flow analysis. in the empirical research, this article judge the efficiency of our stock index futures market with unit root test and serial correlation test, and use 2009 and 2010 trading date of ETF to construct ETF combination. In addition, This paper analyzes the arbitrage opportunities of Hu-shen 300 stock index futures of the market in early and late and researches on the transaction cost, impact cost, the dividend yield on the arbitrage in detail.It's proved by empirical researches that.First, the stock index futures price formulas under no arbitrage pricing method is effective for recent months contract. Second, at present our country stock index futures market has not yet reached weak type of effective. Third, the effect of ETF combination is good. Fourth, transaction costs are the main reason of devouring profit. This paper carry on the detailed analysis of Hu-shen 300 Stock index futures arbitrage operating in the market, that will provide theoretical basis and empirical foundation for investors.