The Research Of China Stock Index Futures Inter-varieties Arbitrage

With the launch of IF 300,IH 50 and IC 500 stock index futures,stock index futures in China increasingly rich,thus attracted a growing number of participants and trading volume,arbitrage transactions as a relatively stable low-risk investment has gradually become active.Compared with foreign mature futures market,at the present stage of China index futures investment market,arbitrage trading is base on basis arbitrage,few of spreads arbitrage,inter-varieties arbitrage which this paper research even fewer.In addition,due to the stock index futures market in China starts late,and there is no scholar has systematic research on the stock index futures inter-varieties arbitrage,making investors have few reference for stock index futures inter-varieties arbitrage.Based on this,in this paper,we introduce how to select the arbitrage portfolio by correlation analysis,stationary test and cointegration test,how to determine the arbitrage contract ratio by cointegration regression equation,how to set the open,close and stop trade signal to construct a inter-varieties arbitrage model which can obtain the profit.The main conclusions of this paper are as follows:(1)There is a high degree of correlation between the three stock index futures contracts in China,and there is a long-term stable equilibrium relationship.(2)Through the analysis of cointegration relationship,the arbitrage combination of IF 300 stock index futures and IC 500 index futures is the optimal stock index futures arbitrage portfolio of return and risk equilibrium.(3)Empirical arbitrage results show that there are relatively large number of arbitrage opportunities both inside and outside the sample space and with large profit space,which also proves the feasibility and practical profitability of the stock index futures inter-varieties arbitrage strategy model this paper design.(4)Although the risk of arbitrage risk is smaller than the risk of speculative trading,investors still need to pay attention to control and guard against the risk of stock index futures arbitrage.The innovation of the thesis can mainly be summarized as follows:(1)For the first time to introduce the theory of statistical arbitrage into stock index futures market in China,Which has a positive effect for enrich and perfect our country stock index futures arbitrage theory;(2)By using cointegration method of statistical arbitrage to construct an optimal model of stock index futures inter-varieties arbitrage,and systematically discussing the feasibility of the stock index futures inter-varieties arbitrage,has a certain guiding role for promote the stock index futures arbitrage investment,active market transactions,smooth transaction risk.