The Csi 300 ETF And Stock Index Futures Arbitrage Empirical Research

As a popular financial innovation tool,stock index futures is one of the main risk management tools in the stock market.Arbitrage Behavior between stock index futures and spot market can improve the unreasonable pricing,to reduce short-term fluctuations so as to make the market more stable,providing sufficient liquidity to the market,at the same time to enable investors to obtain low risk income more stable,so the arbitrage has become the focus of attention of investors,research on arbitrage also has a more realistic significance.China's Shanghai and Shenzhen 300 ETF launched in April 5,2012,is the Shanghai and Shenzhen 300 index as a subject,this is we of the Shanghai and Shenzhen 300 stock index futures arbitrage provides favorable conditions and sufficient data for theoretical analysis and empirical research.Based on the stock index arbitrage theory analysis on the status quo of China's Shanghai and Shenzhen 300 stock index futures and ETF are also analyzed,analysis with the relation between the price chart,and find out the arbitrage opportunities between the two,then analyzes the reasons of the existence of arbitrage opportunities.The empirical analysis based on the analysis above,with the real transaction data to verify before the Shanghai and Shenzhen 300 stock index futures and ETF real arbitrage opportunities,mainly in the open fund index(ETF)in Shanghai and Shenzhen 300 ETF direct use,and the composition and the Shanghai and Shenzhen 300 combined calculation of the tracking error,the tracking error the size and selection of Huatai PineBridge 300 ETF in Shanghai and Shenzhen 300 ETF as the combination of empirical.In the empirical analysis the continuous contract of CSI 300 stock index futures and Huatai PineBridge 300 ETF and spot data as the sample,using the arbitrage formula to calculate the calculated probability and profit arbitrage benefit to verify the practicability of arbitrage in the real deal formula,true to the market,improves the accuracy of the study.Finally,in order to make the market more stable,the paper gives some suggestions on the formation of the normal price relationship between Shanghai and Shenzhen 300 stock index futures and ETF.This paper is mainly divided into five parts: the first part mainly discusses the status quo of the domestic and foreign related research;the second part is the analysis of the stock index arbitrage theory,including the relationship between stock index and stock index futures,pricing arbitrage,arbitrage factors;the third part is on China's CSI 300 stock index futures and ETF.Arbitrage opportunities are analyzed,including the price of the relationship between the cause analysis of arbitrage opportunities and arbitrage opportunities continue to exist;the fourth part is the empirical arbitrage,including an empirical test for the arbitrage portfolio in stock selection and use real transaction data;the fifth part is the conclusion and suggestion.