Strategy Stock Index Futures Arbitrage

Stock index futures is a new type of financial derivatives hedging tool, with the functions of price discovery, arbitrage and so forth. The contract of China stock index futures has already run nearly three years since it was officially listed in China financial futures exchange in April16,2010. With the stock index futures market increasingly mature and stable, the research on the arbitrage trade by use of stock index futures has become the focus of attention of investors. Based on the Shanghai and shenzhen300stock index futures, the paper studies the arbitrage strategy of stock index futures which conforms to characteristics of securities market of China.This paper first introduced the production, the characteristics and functions of stock index futures, stock index futures arbitrage, the type, function and participants of arbitrage trading strategy and some basic theory,such as no arbitrage interval of stock index futures arbitrage in the imperfect market conditions; Secondly, the paper elaborated the spot construction method of stock index futures, that is, through the analysis of finding out the ideal with ETF fund portfolio construction spot method to determine no arbitrage interval and parameter estimation, to carry on empirical research of the Shanghai and shenzhen300index futures with the results of less arbitrage opportunities and low arbitrage profit. Finally, the paper analyses the risks of stock index futures arbitrage,and puts forward relevant countermeasures.Hope this paper provide some reference and suggestions for investors engaged in stock index futures arbitrage.