Research Of Stock Index Futures Futures-spot Arbitrage For Investment Decision

Stock index futures appeared in the process of financial innovation in the1980s, which is the largest volume and the most important one of the financial derivatives. It refers to some kind of stock price index as the foundation assets of standardization of futures contract, trade of contracting parties is specific time after the stock index price level. According to the holding cost pricing model, stock index futures pricing is comprehensive reflection of spot price, lending interest rates transaction costs and dividend income, when the futures price is deviated by all sorts of factors comprehensive role in formation of no arbitrage interval, investors can obtain certain benefits through the forward or reverse arbitrage, this kind of arbitrage way period named as futures-spot arbitrage, it is also the main stock index futures arbitrage form.At present there are less research about the combination of futures-spot arbitrage in China, especially common ETF combination of specific weight and how to determine the investment strategy is rarely mentioned. According to the condition of Chinese stock market, this paper review and analysis the stock index futures-spot arbitrage principles, strategies and co-integration theory, in the point of view of investment decision, analyzing and comparing the four major types of spot combination model. The conclusion is that sampling simulation combination is trival and more suitable for a certain stock investment with rich experience, investors in the stock market should make investment choice smoothly. Therefore ETF combination is simple, low cost of trading and it is suitable for the investors make full use of arbitrage spot in the case of simulation combination selection.For physical simulation of the combination of the most commonly used ETF combination, this paper based on the minimum tracking error rate on the demonstration, through Matlab to solve, it is concluded that the optimal combination strategy, including the optimal holding period, investment proportion, and how to choose the size of the sample size.In determining the optimal combination of ETF investment strategy and weight basis, this paper based on the co-integration theory and holding costs theory, took a demonstration about futures-spot arbitrage solutions, and the results show that arbitrage based on the co-integration theory not only has stronger timeliness, has also made a higher return on investment. It is more suitable for futures-spot arbitrage compared to hold cost theory.