Cash-and-Carry Arbitrage In CSI300Index Futures

This paper is mainly on future-spot positive arbitrage with CSI300stock indexfutures. At first, we reviewed the international and domestic stock index futuresarbitrage theory and empirical research, and introduced the expected theory and thecarrying cost model, derived the carrying cost model is much better than the others inline with the arbitrage practice. Then we introduced the CSI300, correspondingfutures contract on the Shanghai and Shenzhen300index, as well as the arbitrageparticipants.At Present, only the trust company can participate in the stock indexfutures for arbitrage goal. It means that the stock index futures market is still notactive enough, the regulatory layer on the participation of institutional investors limitremains to be relaxed.We are then rational analysis some important parameters in the real word, include:arbitrage transaction costs, dividend yield and lending rates, derived the imperfectmarket arbitrage model. When discussed how to build the spot analog combination,our goal is to set the combination's tracking error minimized, combined with thecorrelation, beta values, and coefficient of determination. We compared the completecopy of the index method, the weight of the configuration method, the industryhierarchical stratified method and the ETFs, and found that the advantages of ETFsmethod are smaller tracking error, stronger correlation and lower transaction costs than the spot portfolio. However, due to the limitations of liquidity and share, thisimitation method is not suitable for large-scale capital arbitrage.The optimized weightdisposition law which is partial in the weight factor, has neglected the industry factor,thus it is suitable to apply in an industry-balanced market. Synthesized the weightfactor and the industry factor to copy the spot index return possibly is more superiorin our country. After the empirical analysis, we discussed the risks in and outside theimperfect arbitrage model.CSI300index futures as the only financial futures products in our country,officially launched just two years when this thesis written. We hope that through thisstudy will not only enrich the futures and spot arbitrage theory and empirical research,but also to provide a useful reference for institutional investors.