Research On CSI300Index Futures Arbitrage

The experience of many countries shows that there is lots of arbitrageopportunities in the early stages of the stock index futures’ formal launch. For example,after the launch of South Kore’s the stock index futures, the effective arbitrageopportunities are closer to20%with an average30%annual rate of return. Therefore,CSI300stock index futures’ launch will give investors brought a lot of no riskarbitrage opportunities. But considering the situation of the domestic financialproducts, the operation of the csi300stock index futures will have their owncharacteristics. Therefore, based on the actual situation of China’s capital market,setting up stock index futures arbitrage model with Chinese characteristics, becomesthe domestic financial engineering research hotspot. According to the situation of thedomestic financial products, this paper studies CSI300stock index futures arbitrage.The main work is as follows:According to the methodology of CSI300stock index futures, this paperpresents a stratified sampling method: first, select the component stock based on the ldaily deal amount and total circulated market value. According to the stratifiedsampling method, we propose the stock index futures arbitrage model with the stockportfolio and obtain the arbitrage interval. In addition, we give the conditions of theend of arbitrage activities.This paper analyses the advantages of the ETF as a spot in the stock indexfutures arbitrage and discusses how to construct the ETF portfolio. According to theconstructed ETF portfolio and the cash flow analysis method, this paper considers thestock index futures arbitrage model with buying and selling impact cost and timevalue. This paper also derives the no-arbitrage interval, which provides the theoreticalguide for discovering arbitrage opportunities.The existing research are based on the simulation data of CSI300stock indexfutures, which ignores the effects of buying and selling impact cost on the stock indexfutures. Therefore, this paper carries on the empirical analysis with the real data ofCSI300stock index futures. The results show that the two stock index futures arbitrage model can discover the arbitrage opportunities and earn the risk-free profitsby constructing the corresponding portfolio.The research on CSI300stock index futures arbitrage resolves the problem ofhow to obtain the risk-free profits with CSI300stock index futures and provides thetheoretical guide for the investors. In addition, the research is helpful to implement theprice discovery function of CSI300stock index futures.