Research On The Future-spot Arbitrage Of CSI300Stock Index Futures And ETFs

The release of CSI300index futures and the upcoming appearance ofCSI300ETF show that China's capital market is constantly moving forwardand improving. Therefore, researching the issue of stock index futuresarbitrage, particularly the procedural transaction which developed on thebasis of this study, has practical significance and application value.This paper firstly introduces the concept and contents of the stock indexfutures, and also the function of it. It introduces the stock index futures'development history and current situation in the world and China. It alsobriefly introduces CSI300index futures contract. Meanwhile, this paperdescribes the concept, function and the characteristics of exchange-tradedfund, describes the emergence and development of ETF in the world andChina, and does a review about the development process of ETF in China.This paper introduces the basic ideas of arbitrage and the patterns ofarbitrage. I select the CSI300stock index futures and the CSI300Indexdaily closing price data from2011.1.4to2011.12.30for statistical analysis.After employing the statistical tests we find it has a long-run equilibrium co-integration relationship and a clear lead-lag relationship between them.This paper studies the pricing principle of stock index futures and theprinciple of arbitrage. By way of the least squares linear regression Iconstruct the ETFs portfolio to simulate the CSI300Index. This paperanalyzes the conditions and costs of the composite arbitrage between them,and makes efforts to quantify the costs and establish a positive arbitragemodel and the reverse arbitrage model. This paper also tries to use the priceratio of stock index futures and spots to determine a no-arbitrage interval.After a brief introduction of the other arbitrage methods between the stockindex futures and ETFs, I study the30-minute closing data in trading daysfrom19, Dec.2011to20, Jan.2012. I find the opportunities and confirm thefeasibility of arbitrage by the empirical test. Finally, in order to betterarbitrage and make more profit, this paper discusses the inadequacies of themodel and raises some suggestion for improvement.