CSI 300 Index Futures Analysis Of Arbitrage

April 2010,CSI 300 stock index futures in the China Financial Futures Exchange launched,which makes the CSI 300 Index constituent stocks more concerned about the market,its strategic role has also been improved.CSI 300 stock index futures is China's first financial futures.Stock index futures not only have hedging,price discovery function,in addition,also has arbitrage,speculative function.A sound stock market,for the financing of the resources can be configured to optimize the function,for investors,it can play a value-added assets of the function.Stocks,as a highly risky investment product,require appropriate risk management tools to manage risk,especially in passive investors in the stock market.China's stock market in the stock index futures before the launch,just a speculative place,investors received a dividend income is far lower than the investor speculation obtained stock spreads,the stock market volatility,the entire infrastructure is not yet perfect,Risk management is just empty talk.Before 2010,the stock index futures arbitrage research is the use of stock index futures simulation data,through the study found that stock index futures simulation period there are many opportunities for arbitrage.CSI 300 stock index futures for the use of stock index futures real data for the current arbitrage analysis provides the possibility.In this paper,we analyze the stock index of CSI 300,firstly,through the100 ETF,180ETF and 300 ETF when analyzing the current arbitrage of CSI 300 stock index futures.Through the correlation analysis and cointegration analysis of the three three ETFS and the CSI 300 spot indices,100 ETF,180ETF and 300 ETF can copy the stock index of CSI 300.Secondly,the tracking error of CSI 300 is simulated with ETF as the index,and the reasonable weight of ETF combination is obtained by planning and the weight 300 stock index to copy;Finally,the proposed ETF portfolio and the CSI 300 stock index futures arbitrage empirical analysis,through the establishment of a reasonable threshold,the CSI 300 stock index futures arbitrage arbitrage interval,you can find the domestic financial Futures market there are more arbitrageopportunities,the market is not entirely effective.Then,through the analysis of the results of arbitrage in CSI 300 stock index futures period,the annualized rate of return,Sharp ratio and cumulative yield curve are calculated and analyzed for the investors' reference.In the analysis,we consider the ETF to allow short and not allowed to short the situation,based on this we can also consider opening the open-end fund market restrictions,give full play to stock index futures hedging and price discovery.In this way,not only play the stock index futures hedging function,but also makes the market is able to maintain a stable long-term equilibrium relationship.