ALPHA Futures-cash Arbitrage Analysis Of Stock Index Futures

The Stock index futures (SIF) are standardized futures contracts based onthe stock index．The introduction of the Shanghai and Shenzhen300SIFwill improve the function and mechanism of Chinese stock market, promotethe maturity of the capital market of China and diversify the financialproducts．To begin with, this paper briefly introduces the background andcurrent global analysis progress of SIF and details Chinese Shanghai andShenzhen300SIF. Then it respectively analyzes the different arbitragestrategies, mainly focused on the Alpha arbitrage theory. Most importantly,the Author puts forwards “Capital Oriented Stock Screening” concept andeffectively integrate it to the Alpha arbitrage empirical analysis and finallyprove the hypotheses that “In current Chinese stock market, capital orientedstock portfolio may obtain bigger Alpha value”This paper is mainly focused on analog building of stock positions, which is also the core issue of arbitrage model. Due to its limited market scales andsignificant capital impact, Chinese stock market was and will keep as atypical bull-oriented market in the expected future. According to thischaracter, the author puts forward a new “Capital Oriented Market Alphaarbitrage Model” by setting up four descriptions and five conditions to filterCapital oriented stock portfolio from existing stock market pool, takesnecessary modification and optimization on the relative parameters andconducts empirical research by comparing the actual profit rate of chosenCapital oriented stock portfolio with Shanghai and Shenzhen300SIF. Theempirical results reveal that chosen Capital Oriented Stock portfolio can gainbetter return than Shanghai and Shenzhen300SIF, obtaining significantAlpha value, which means Shanghai and Shenzhen300inter-temporalarbitrage opportunities does exist.Finally, based on the above analysis，this paper presents some adviceand prediction about the real atbitrage of Shanghai and Shenzhen300indexfutures in the future． the Shanghai and Shenzhen300SIF will definitely belisted in the future．The purpose of this paper is to provide some advice andguidance on the arbitrage after the list of the Shanghai and Shenzhen300stock index futures．...