The Research And Design Of Chinese Stock Index Futures Arbitrage

The introduction of stock index futures in April 2010 is of great significance to the development of China's capital market,enriching investors' investment tools,and at the same time helping investors avoid investment risks and reduce stock market volatility.The introduction of margin trading business can help stock index futures to achieve these functions.The futures arbitrage of stock index futures is very important to stock index futures market.The futures arbitrage of stock index futures can adjust the deviation of futures and spot prices,improve the rationality,and improve the liquidity of stock index futures market.Our research is to calculate the arbitrage free interval and choose the smaller tracking error,and this paper focuses on the analysis of the above two parts.Combined with the actual situation,we finally calculate the no arbitrage opportunities.The first focus of this paper is the derivation of no arbitrage interval and the construction of three kinds of spot portfolio.The first aspect,the main factors include transaction cost,impact cost,tracking error cost and Chinese margins of stock index futures,margin interest rate,pushing out the corresponding interval pricing model.The second aspect,this paper uses three ways to construct the spot combination,one is using optimization method to construct the replication of the stock portfolio,and second is constructing ETFs combination according to the tracking error minimization,and third is building options to construct the spot using option parity principle.The second main contents of this paper are empirical analysis of stock index futures arbitrage based on relevant data of stock index futures and spot data in recent years.Since 2015 after the stock market crash,the stock index futures market premium frequent phenomenon,the margin of a ticket is hard,therefore,this paper is mainly based on nearly three years of stock index futures and spot portfolio data of stock index futures arbitrage.First of all,assuming that margin trading can be carried out smoothly,the ETFs portfolio is taken as a spot portfolio to carry out empirical analysis.Secondly,the hands have a large number of spot combination mechanism,according to the tracking error minimization is able to filter out ten heavyweights better track the CSI 300 index,the spot's heavyweights can appropriate corresponding holdings,the reverse arbitrage at the right time,earn huge profits.Finally,in view of the current difficulties in margin trading,we can use the option portfolio to build spot shorts in the current market and realize reverse arbitrage.