| Since the birth of the stock index futures statistical arbitrage strategy, it is popular in Europe and America and Japan and other mature capital market. And it is widely used by major hedge funds, mutual funds, investment institutions and senior independent investors. However, due to some historical reasons, it has been the lack of appropriate conditions of use in the Chinese investment market. Until April16,2010HS300stock index futures was formally launched, which made the Chinese market end the road of unilateral transactions for a long time, and entered a new era of statistical arbitrage index futures.Since stock index futures had the characteristics of both commodity futures and financial futures, it was very significant since it had launched. And more and more investors began to focus on stock index futures arbitrage strategy. After Covered Interest Arbitrage strategies began, investors found the stock index futures market did not strictly comply with the assumptions of the traditional theory and gradually added the element of risk to arbitrage strategy of stock index futures. Then, with the rapid development of computer technology, statistical arbitrage has become another tool frequently used by major institutional investors. Especially in mature capital markets, the use of statistical arbitrage in the stock index futures market has been very extensive. However, in the Chinese market, the HS300stock index futures was launched only four years, the study of statistical arbitrage strategy was still in its infancy. Therefore, the use of statistical arbitrage in HS300stock index futures market is of great significance to the development of Chinese financial market.Compared with previous studies, this paper has the following characteristics:First in the selection of data, it chooses the high-frequency data of HS300stock index futures for statistical arbitrage research, instead of using simulation data or daytime transaction data in the previous studies, which increases the real effectiveness of statistical arbitrage strategies conducive to arbitrage effects test. Second in the arbitrage strategy, it use cointegration arbitrage empirical research, rather than the method of traditional arbitrage, which increases the practicality and reproducibility, and easy to promote statistical arbitrage strategy.Eventually, through empirical testing paper find that statistical arbitrage strategy has a good effect on stock index futures market, and play an important role in Chinese financial markets at the macro and micro aspects. In the macro level, statistical arbitrage improves asset allocation efficiency of China’s financial markets, and makes a contribution to the healthy development of China’s capital market, the establishment of a more rational and efficient price discovery mechanism, and stable futures and spot price levels. In the micro level, statistical arbitrage improves domestic investors a new investment and arbitrage tools that enable investors to get some steady income.The main contents are as follows:Chapter1is the introduction. This part describes the background and significance of statistical arbitrage, describes the framework of ideas and research briefly, and reviews the current domestic and international statistical arbitrage literature studies.Chapter2introduces the definition and development process related to stock index futures, gives the features and functions of stock index futures, and details of the sample selection and HS300stock index futures contract content.Chapter3is the theoretical analysis of statistical arbitrage. It focuses on measurement methods of statistical arbitrage modeling, empirical analysis step and process.Chapter4is a statistical arbitrage process design. In the chapter data source are firstly described, as well as to build portfolios, trading signals and mechanisms.Chapter5is the empirical stage. We use cointegration methods to build futures and spot statistical arbitrage model for empirical research.Chapter6is a summary and outlook. |
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