Empirical Study On The Arbitrage Strategy Of CSI300Index Futures

CSI300index futures has gone through a full three years since its launch in April2010, and it plays an important role inhedging on the stock market and developingthe capital markets. Arbitrage as an important asset management strategy, has also been well received by domestic and foreign scholars and institutions researchers. But since its inception in China’s domestic stock index futures, due to transaction costs and other factors, arbitrage of stock index futures is still lacking activity. Because China has not launched the CSI300ETF, the establishment of short selling mechanisms is relatively late, scholars and institutions on domestic stock index futures arbitrage studies mainly focuson the use of combinations of the constituent stocks or ETF portfolio.They usually use a simulated index market by way of subscription and redemption arbitrage;as the way to use a basket of equity portfolio to simulate CSI300index has high transaction costs, the subscription and redemption of ETF in the primary marketthreshold is higher, regardless of which of these two methods for arbitrage, will make the small investment prohibitive.Based on the review of stock index futures arbitrage scholars at home and abroad on the basis of research, from the perspective of small and medium investors,this articaldraw on the experience of stock index futures arbitrage scholars from home and abroad,by amending some of the parameters on the basis of arbitrage strategies and proposed an empirical analysis. Firstly, there is a brief overview of the stock index futures, ETF to learn the concepts and characteristics of derivatives, through empirical analysis of the Shanghai and Shenzhen stock index300ETF and correlation analysis CSI300ETF selected as the spot of arbitrage index necessity. Then describes the basic principles and methods of arbitrage and margin trading business, explain how to use the ETF to achieve small investors stock index futures arbitrage and reverse arbitrage forward and develop a simple and feasible arbitrage strategies. Then, in the established arbitrage strategies to analyze and set parameters, using the no-arbitrage method of forward and reverse arbitrage arbitrage index futures were deduced no arbitrage interval. Finally, the paper selects11May2012to10May2013the whole year’s stock index and stock index futures contract5minutes empirical frequency data and found that there are some arbitrage opportunities, and select a representative arbitrage opportunities point in time simulated trading strategy proved feasible. Ultimately Based on the timing of all existing arbitrage opportunities and arbitrage degree carried out statistical analysis, and gives conclusions and policy recommendations.