Research On The Arbitrage Strategy And The Risk Conduction Efficiency Between Stock Index Futures And Spot

The article studies the stock index future in China and analysesits utility and principle of arbitrage. In order to pursue a higher return rate of arbitrage, the article studies the position-control strategy based on the reality of the market in China and Kelly equation. Then it goes on to further study the stability of the strategy on the dimension of time. In the conclusion part, the article studies the change of risk transmission efficiency in the stock market and stock index future market based on the basis and overnight information. According to the research, the article concludes that our market is getting more efficient and also gives some idea about how to improve the strategy.