Based On The Cointegration Test Methods About Stock Index Futures Spread Arbitrage Analysis

Stock index futures, as one kind of the financial futures, is the financial futurescontracts which underlying target is stock index. It is the inevitable product of thedevelopment of capital markets to a certain stage and it also plays a good role inpromoting the development of capital markets. Arbitrage is an investment strategy takenby the investors in the financial markets, it can circumvent and hedge the various risks onthe futures market, so it has been widely used among investors.For cross-species stock index futures spread arbitrage research, foreign literaturemaybe a little few;in domestic,the research on this facet is also not excessive.This articlefrom four major areas to investigate spread arbitrage of stock index futures. Which firstin exordia,I introduce the background of the development of stock index futures andoverview domestic and foreign stock index futures arbitrage research,and also thestructure、aim、insufficient of this article.In the first chapter,I introduce the stock indexfutures arbitrage types、characteristics、arbitrage method and discuss in detail about theadvantages of cross-species spread arbitrage of stock index futures and its arbitragemethod.In Chapter II,it use cointegration method to test stock index futures contractsprices, and it also calculate the rate of return of spread arbitrage.In Chapter III, thisarticle gives a brief summary, and bring forward reference advises about stock indexfutures spread arbitrage on our country`s stock index futures market.The ultimate proof that building spread arbitrage between the U.S. stock indexfutures contracts will be profit and without risk. Cointegration test proves the long-termrelationship between stock index futures contracts, in this study associated stock indexfutures prices are cointegrated, and the spread from the cointegration relationship willrevert to the average level in the long term. Trading rules simulation confirme that theaverage profit is very impressive after considering transaction costs and the rate of spreadarbitrage return.Stock index futures were launched as much as a year in China, which not onlybecome the investors`tools in securities arbitrage and hedge trading, but moreimportantly, enhance the level of competition in the security industry and the overallstrength of China’s securities and futures markets. Stock index futures arbitrage trading is a relatively new profit method in China and can bring risk-free profits to investors, butthe research on it is relatively less in our country. Therefore, studies of stock indexfutures spread arbitrage has important practical significance for us.