Based On High-frequency Data Of Shanghai And Shenzhen 300 Index Futures Arbitrage Research Now

The arbitrage of stock index futures helps the stock index futures fulfill the function of price discovery and risk aversion. With the improving of the efficiency of arbitrage, the stock index futures will play an important role in the development of economy.This paper shows a research on the spot-future arbitrage of CSI300index futures at the trading process of the spot-future arbitrage of stock index futures and the evolution of the spot-futures arbitrage of stock index futures and the impact the stock spot market has on it. Adopting the one-minute high frequency data of the continuous current month contract of CSI300index futures and its spot index as sample, the paper reproduces the market and thus raises the accuracy of the research.In the first part, the paper focuses on the derivation of pricing model of stock index futures during the trading process of stock index future spot-future arbitrage, and the construction of spot portfolios which duplicates the underlying asset of stock index futures. Considering the elements in Chinese stock market which affect the pricing of stock index futures, and provided that during the purchasing and selling of spot the tracking error of spot portfolios is regarded as part of the cost of the trade, this paper fulfills the derivation of the pricing module of CSI300index futures. Compares the strengths and limitation of various methods of constructing spot portfolios, and constructs spot portfolios with different ETFs. The research demonstrates that a spot portfolio constructed by some ETFs which bears higher similarity with CSI300index produces lower tracking error to CSI300index. Last but not least, the paper also analyzes risks which may exist in the trade of stock index futures spot-future arbitrage.In the second part, taking Apr16,2010to June11,2010when stock index futures are first listed and Apr25,2011to Jan19,2012which is one year after that as research cycle. After comparison, the paper finds that the opportunities for spot-future arbitrage, average arbitrage size and average arbitrage time plunges and then maintains at a low stage when it’s one year after the stock index futures are first listed. All the above shows that the market and investors of CSI300index futures develop well since the beginning of listing. Comparison of volatility of stock spot market during Apr25,2011and Jan19,2012and the impacts it has on the spot-future arbitrage of CSI300index futures shows that high volatility brings more opportunities for the spot-future arbitrage of stock index futures, while medium volatility brings nearly highest average arbitrage size and longest average arbitrage time. Hence the best timing for spot-future arbitrage trade is when stock spot market is in medium volatility. More opportunities of spot-future arbitrage appear in the downward cycle than in the upward cycle, and thus produce favorable arbitrage size.