CSI300Index Futures Empirical Study Of Arbitrage

The research of China’s CSI300index futures arbitrage trading will help us find the theoretical price of the stock index futures and provide a trading strategy to avoid the risk of capital market, So increasing the CSI300Index futures arbitrage efficient of transactions has a very important role for China’s capital market pricing of futures prices and risk aversion.First, We determine the CSI300index futures arbitrage pricing range by the stock index futures arbitrage pricing principles,we can get the stock index futures arbitrage-free arbitrage upper and lower limits. Then analyzing arbitrage cost parameters, the use of Chinese Huatai Bai Rui CSI300ETF stock portfolio constructed to simulate the CSI300Index, tracking error through correlation and analysis of other indicators derived Huatai Bai Rui300ETFS can be a good fit for the CSI300index, and its mobility is also able to meet this period arbitrage requirements. The empirical research component of our major applications CSI300Index1minute frequency data and the CSI300stock index futures contract month one minute price index as the sample data, the use of one minute frequency data can be well on the market reduction, empirical research results more accurate and credible, increasing accuracy.Our study focused on Shanghai and Shenzhen300stock index futures of arbitrage, in the study of the Shanghai and Shenzhen300stock index futures arbitrage, we mainly based on Cornell and French holding cost model, derived using our stock index futures market stock index futures arbitrage of arbitrage-free interval (positive arbitrage strategy is derived through arbitrage range limit and reverse arbitrage strategy is derived limit), as well as Shanghai and Shenzhen300stock index futures spot of arbitrage portfolio construction, before domestic researchers generally use300index constituents or several can better fit the CSI300Index ETFS spot to build a linear combination of a combination, the paper selected to build China Bai Rui CSI300ETFS spot; Since2012China have launched a multi-CSI300ETF, a comparative analysis of stocks and a variety of building stock portfolio stock portfolio ETFS build their advantages and disadvantages, and is currently China’s securities market can be traded more than just CSI300ETFS comprehensive comparative analysis, considering to transaction costs, correlation and tracking error and other factors, eventually we select the current market is relatively mature Chinese Bai Rui CSI300ETFs combination of empirical research to build the spot. Then we passed August8,2013to August16,2013(August16,2013due Everbright Securities misuse behavior, a brief stock price volatility) for one minute frequency data for the study sample, for Shanghai and Shenzhen300stock index futures arbitrage of empirical research, the study found the existence of arbitrage opportunities, found by calculating the fair through arbitrage to achieve positive gains. A few days while other empirical research data can be found, there are very few opportunities for arbitrage, shows that our securities markets and institutional investors are constantly maturity. Period of this study help to identify stock index futures arbitrage theory of pricing and risk aversion function.Main innovation is the CSI300Index stock to build, because shortly before the launch of the CSI300ETFS, domestic scholars have not previously used to build the Shanghai and Shenzhen stock portfolio300ETFS study. Empirical research data is also selected in the sample containing Everbright Securities Oolong means the timing of the incident, which also help us to analysis and explanation arbitrage opportunities arise. The inadequacy of this article is on stock index futures arbitrage of arbitrage-free interval derivation, we some of the parameters affecting arbitrage interval (such as the impact of costs for securities transactions) analysis is not so scientific.