Empirical Study Based On Cointegration CSI300Stock Index Futures Intertemporal Arbitrage

Stock index futures because of hedging, price discovery and asset allocation in international financial markets occupy a very important position. China’s CSI300stock index futures since April16,2010officially launched the rapid development of a good stock index futures financial instruments in the financial markets, has become the majority of our investors’ concerns.This article is mainly focused on cross-study China’s CSI300stock index futures arbitrage model. Detailed description of the first stock index futures arbitrage theory, intertemporal arbitrage model based on the cost of ownership of stock index futures is derived after detailed definition based on the the cointegration statistical arbitrage, arbitrage implementation strategies, and test methods. Consider the financial and time-varying volatility arbitrage.In the empirical analysis, the use of the far month contract EVIEWS6.0software CSI300stock index futures and near-month contract in one minute closing data and empirical research. Cointegration theory to test the equilibrium relationship between the contract and by the cointegration coefficient obtained by building a cross-arbitrage trading model. At the same time varying variance both cases, whether to consider the intertemporal arbitrage model of a comparative study. And based on time-varying volatility statistical arbitrage strategy is superior to statistical arbitrage strategies based on historical volatility.