An Research On Pricing And Arbitrage Of Stock Index Futures In China

Stock index futures is a kind of financial futures,and has the characteristics of general futures.Because of it’sunderlying asset is stock index which made up of a basket of average stock price,so the direction andmagnitude of change is more complicated than the single commodity futures. Since February24,1982theUnited States Kansas futures exchange launched the first stock index futures——the value line indexfutures,stock index futures have sprung up all over the world.April16,2010on the first day of HS300indexfuture,its trading volum reached58547hands. Then with the trading volum gradually enlarged, its turnover innominal has leapt to second in the world,only after the mini S&P500stock index futures contracts. In ourcountry,the development of stock index futures has just started,so the market is not mature enough.What ismore,our country launched one stock index futures,and the market participants’ understanding of theinvestment strategy is not deep enough.In conclusion,it is very important to price research of financialderivatives,and improve the arbitrage strategy further.The article mainly study the stock index futures through two aspects of the theoretical pricing and future-spot arbitrage. In terms of stock index futures pricing,we introduced detailedly the current mainstream modelsof stock index futures index,which include the cost of carry model under the perfect capital market and theinterval pricing model considering the cost and general equilibrium model in incomplete markets.Then, wetook HS300stock index futures for a empirical research,and analysis the empirical results in combination withthe current economic situation. In terms of future-spot arbitrage,we also took HS300stock index futures for aempirical research in combination with the cost of carry model and the interval pricing model.Followingthis,we introduced simply the statistical arbitrage strategy.Finally,we took risk measure research for HS300stock index futures by CVaR method.and verified theeffectiveness of the model.Thus,it will be produce a reference to other financial futures which are going to launchin China.