Application And Enlightenment Of Domestic Stock Index Arbitrage And Spot Portfolio Construction Method

Stock Index Futures already developed well in U.S.A in 1980s, while China's Stock Index Futures market opened in 2010 April and becomes a new kind of financial arbitrage instrument now. The arbitrage of Stock Index Futures not only enrich Chinese securities market, but also provides a new kind of risk-less profit-making model for risk-aversive investors, and a better instrument of avoiding market droping for institutional investors. The emerging of Stock Index Futures is significant for Chinese capital market.Through the research for the arbitrators of Stock Index Futures, it is found that the arbitrators typically only apply the most intuitive Cash and Carry basis Arbitrage, and their stock portfolios are typically based on subjectivity and random and lacked the support of statistics and theories. When the basis is small, the investors are typically very confused due to lacking necessary theories. Therefore it is crucial to the investors to have a full set of effective Stock Index Futures arbitrage model to scientifically estimate the arbitrage spread and increase the efficiency of arbitrage.This article firstly introduces the relevant research about Stock Index Futures arbitrage, then, on the basis, introduces the calculating of arbitrage spread on the basis of cost of carry model, and evaluates the arbitrage spread in a empirical study mode. On the basis of thoroughly calculating the arbitrage spread, this article introduces the method of building the stock arbitrage model with ETFportfolio and determines the minimum-error method as the mode to determine the ETFportfolio and briefly introduces the risk control in the process of Stock Index Futures arbitrage.