| The dissertation focuses on the stock index future futures-spot arbitrage concept, function, process, the pricing principle, emphatically introduces the Hushen 300 index futures-spot allocation corresponding to the combination of several of China's securities market, and according to the actual situation, calculation of the stock index futures arbitrage transaction cost, derived the no arbitrage interval. This article puts forward the current market environment, stock period the stock index future futures-spot arbitrage behavior is not without risk, many factors will affect the effect of arbitrage, and even a threat to arbitrage operation success or failure. The stock index future futures-spot arbitrage behavior in the whole process of analysis of the effects of arbitrage the effect of various factors, put forward the corresponding spot allocation solutions, with a view to arbitrage investors arbitrage activities help. This paper analyzed the composition of ETF fund stock selection basis, arbitrage object ETF index fund choice basis, available ETF and combinations thereof, and the mathematical model of ETF combination of the optimal proportion, and the alternate spot on the exponential tracking effect is analysed.Conclusion:(1) The Hushen300 stock index futures arbitrage interval does exist, and this interval on the basis of the existing transaction parameters can be calculated. According to the parameters we can calculate the arbitrage space limit, lower limit(2) The Hushen300 stock index future futures-spot arbitrage in stock portfolio selection gives several schemes, studies show that especially in using ETF50, ETF180 and ETF100 combination scheme of the highest correlation, and gives the ETF portfolio allocation optimal ratio.Chapter 1 is the prolegomenon, including Background, Significance, Research objectives and Research ideas; Chapter 2 summaries the theory and relevant literature of stock index futures futures-spot arbitrage. Analyzes futures—spot arbitrage gradually and deeply in accordance with logical sequence from the arbitrage to stock index futures arbitrage to stock index futures futures-spot arbitrage. Chapter 3 analyzes strategy and process of stock index futures futures-spot arbitrage. Chapter 4 analyzes choice of stock index futures futures-spot arbitrage. Chapter 5 is about the conclusions. The corresponding conclusions are drawn from the theoretical and empirical aspects. A further study on stock index futures futures-spot arbitrage depends on the improvement of the mathematic model and data. Chapter 6 analyzes risk factors of stock index futures futures-spot arbitrage... |
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