Research On The Arbitrage Of HS300Stock Index Futures

As an important tool of risk management, the volume of the stock index futures in the globalcapital market is growth in explosive speed. Moreover, many investors pay attention to the arbitrageof stock index futures because it is a kind of new gaining profit pattern. Not only the arbitrage ofstock index futures trading can help investors to obtain risk income, but also significantly helpprice-discovery and improve liquidity for capital market. Therefore, in April16,2010, Chinaofficially launched the first financial futures products—the HS300stock index futures contracts.Under such background, the whole paper discusse the arbitrage of stock index future based on themarket characteristic of our own country. So this can not only enrich the arbitrage theory system ofour country, but can provide investors the operation reference of arbitrage.Paper introduce the theory of arbitrage of stock index futures systematically. On this basis,through analysis and comparison, the article identify the appropriate varieties of spot stock andconstruction proportion to simulate HS300stock index. The paper gives the arbitage model ofstock index future and estimates the main parameter, such as lending rate, impact cost, costs oftrading, futures margin ratio and tracking errors. Finally, the paper confirm the arbitrage-free zonebased on our own captial market.The paper analysis the effect of arbitrage of stock index futures, it is proved that although thearbitrage opportunities occurs less than the period of stock index futures trading simulation, itcould bring substantial arbitrage return. But the arbitrage of stock index futures is not without risk,the tracking error of arbitrage spot portfolio, the compulsory liquidation, the settlement price risk,liquidity constraints could effect the arbitrage return. So, some measures should be done to ensurethe realization of the anticipated arbitrage return. For example, optimizing arbitrage spot portfolioaccording to the latest transaction information, using more conservative approach to identify thefutures margin ratio, using the high frequency data of market to calculate impact cost, using delaytrading strategy or mixed trade strategy in trading.