The Empirical Analysis Of Stock Index Futures Arbitrage

This essay mainly focuses on various arbitrage methods of index futures.The first section is the introduction to basic properties of three types of stock index futures and the indices of their underlying assets;the second section illustrates the theoretical fundamental of different arbitrage,and conducts the empirical analysis of index futures with respect to spot market arbitrage,intertemporal arbitrage,intercommodity arbitrage,intermarket arbitrage using Matlab and high-frequency trading data provided by Wind;The final section researches on the effects of relevant parameters involved in arbitrage,including commission,impact cost setting and futures margin ratio.We have four futures exchanges in China: China Financial Futures Exchange,Shanghai Futures Exchange,Dalian Commodity Exchange and Zhengzhou Commodity Exchange.Among them,China Finance Future Exchange is entitled to exchange the full range of financial futures,including stock index future,national debt futures,and forex futures.There are three types of exchangeable index futures in terms of underlying assets: CSI 300 futures(marketed on April 16 th 2010),SSE 50 futures(marketed on April 16 th 2015)and CSI 500 futures(marketed on April 16 th 2015).In the empirical analysis,CSI 300 futures is selected for spot market arbitrage,intertemporal arbitrage,intermarket arbitrage as it has marketed for a long period.On the other hand,since SSE 50 futures and CSI 500 futures have just marketed,the methodology used in analysing the intercommodity arbitrage is: take the indices of the underlying assets of the three futures as in-sample data,while take the joint data of the three futures after April 16 th 2015 as out-of-sample data,then conduct simulation trading using two arbitrage strategies against in-sample and out-of-sample data respectively,and finally test the model's feasibility.The results are as follows: 1.despite of the scarcity of different arbitrage chances,the profit turn out to be stable,especially for intertemporal spread whose mean reversion is significant;2.the momentum effect in A-share market is significant;3.the long-term constant discount of futures after stock market crash has impact on arbitrage opportunity.