The Csi 300 Index Futures Arbitrage Theory And Empirical Research

So far, China’s stock index futures have officially run fast for two years, along with the continuous development of stock index futures market, the stock index futures arbitrage trading more and more get the attention of many investors. Arbitrage trading, on the one hand, can make a market price recover to its reasonable interval, it can enhance the stock index futures liquidity in the market, meet the liquidity demand of the hedging ensure. On the other hand, by arbitrage trading investors can make risk-free profits or risk very low income. no doubt, arbitrage trading has very big allure to each investor. Therefore. whether from the market point of view or from investors, the systematic research to the stock index futures arbitrage trading has profound theoretical and practical significance.This paper reviews the domestic and foreign stock index futures arbitrage theory and empirical basis, combining the actual operation of the domestic market environment.this paper analyzes the exogenous impact factors (including the transaction cost, rates are not equal, securities cost and securities margin, the dividend yield uncertainty)of the price of stock index futures, based on the cost of holding the stock index futures pricing theory, the paper derives the no arbitrage price range of the stock index futures under the conditions of imperfect market in our country. After no-arbitrage model analysis this paper introduced the co-integration theory, attempts to the point of view of statistics arbitrage, based on the research of no-arbitrage interval model and time series model-cointegration, this paper has an empirical study on the arbitrage of our country stock index futures market; Before the empirical research, the key point of arbitrage "tracking error" is analyzed in detail, and after introduces several kinds of methods commonly used in constructing spot combinations,,this paper constructed the ETF portfolio to track index using six ETF fund as the foundation through the optimization method, The results is that this combination has low tracking error.In the process of empirical studing no-arbitrage model of arbitrage, various parameters are estimated detailed, the empirical results show that during sample arbitrage opportunities does not be sawed morely, only found four positive arbitrage opportunities, and reverse arbitrage opportunity is not found; Based on the empirical study of co-integration theory that HS300index and the month contract price sequence is1order Intearation, and they have a co-integration relationship, considering the transaction cost, cointegration model found five arbitrage opportunities, also found no reverse arbitrage opportunities; From the empirical results, the overvalued degree of the domestic stock index futures market prices is higher than the underestimated degree. After The empirical research on two kinds of arbitrage, this paper summarizes and analyzes the models, thinks that the two models has its own advantages and disadvantages.