Empirical Study On Intertemporal Arbitrage Of CSI-300-Index Futures

CSI 300 index futures, as China's financial futures products in the first real sense, were launched in April, 2010. Its underlying assets are the CSI 300 Index prepared by China Securities Index Company. CSI 300 index futures contain the function of price discovery(futures price changes are prior to the spot price, and have the ability to guide the spot price), hedging(through futures operations, you can lock in the future spot price volatility) and asset allocation(increase capital investment channels). Before the launch of CSI 300 index futures, we can only buy the assets on the capital markets, that is, to do more assets; To sell short the asset is forbidden, which is short of assets. After the launch of CSI 300 index futures, we can operate on short futures market to hedge stock market fell systemic risk. In the long term, the CSI 300 index futures can promote the healthy and stable development of China's capital market, and truly serve the real economy in China.There are four main methods for stock index futures arbitrage. This thesis focuses on the empirical studies of CSI 300 index futures inter-temporal arbitrage, and combines with co-integration model to examine the long-term equilibrium relationship between the contract agreement in recent months and the far month, and then based on this equilibrium relationship this thesis selects 1 minute high-frequency data from index futures contracts for analysis to verify the feasibility to conduct an inter-temporal arbitrage by the use of the CSI 300 index futures contract in this stage.Across the empirical studies of China's CSI 300 index futures arbitrage, we found that the CSI 300 index futures inter-temporal arbitrage based on co-integration model is feasible. Whether regression results is based on the original sample, or based on variable time characteristics, we have achieved good arbitrage results, as long as we set reasonable range, control their portfolios, such as buy or sell and other thresholds, we can operate CSI 300 index futures very well, to obtain a certain arbitrage profits.Results of this study have a certain significance both for academic research, financial markets institutional investors and individual investors. I believe that with the development of China's financial markets, increasing product variety of financial futures, continuous expansion of trading volume, financial futures products will become increasingly important in the market to play a relevant function, smooth market volatility and other aspects.