A Research On Arbitrage Strategy Of Stock Index Future

Chinese capital market is on the path to a new stage of development since China formally launched csi300 stock index futures and listed it in CFFEX (China Finance Futures Exchange) in April 16th,2010. Stock index futures provide more extensive investment and risk management tools for investors and asset managers. Therefore, doing arbitrage by stock index futures is an important trading method.The domestic research about the stock index futures arbitrage is focused on the basic principles recently. And the domestic scholars pay more attention to the stock portfolio and the odd ETFs construction spot portfolio. They are not concerned a lot about the combination of several ETFs products and spot goods, which is the duplicate of csi300 index. In order to do some empirical researches on the current arbitrage about csi300 index futures, scholars often choose the imitated csi300 index data to analyze the arbitrage market. Since the real market cannot be reflected through this simulation, this research may not be able to use in operating the stock index futures arbitrage at this stage.This paper reviews the domestic and foreign classic theories about futures arbitrage. The paper amends the shortcomings existing in domestic scholar's researches, indicates the arbitrage theories and analyzes the trading method and arbitrage mechanism of the combination of these two theories as well.First of all, the paper chooses a modest ETF product to build the best ETF combination by regression analysis. This combination is set as the spot goods to follow the change of csi300 index. In addition, the paper discusses the effect of various factors on the impact of arbitrage and completes quantitative analysis of csi300 index futures, real costs of ETF products and other factors accurately.In the empirical study, instead of using the imitated transaction data, the article collects the IF 1101 stock index futures contract data in China Financial Futures Exchange from the end of 2010 to the beginning to 2011, testing on the real trading market. After comparing the abnormal deviation between market price and theoretical price from November 2010 to January 2011 and the comprehensive trading cost, the article calculates the IF1101 contract arbitrage-free interval, and then figures out the arbitrage opportunity. The arbitrage-free interval and arbitrage opportunities of ETF portfolio can also be calculated by the same method. At the meanwhile, the article has chosen a special time point, which both has the arbitrage and ETF arbitrage opportunities. Regarding to the final results of simulated arbitrage and the arbitrage profits, the conclusion has been verified in the end.