An Empirical Study Based On VECM Model For Inter-Commodity Spread Of Stock Index Futures

Stock index futures,the stock price index futures,refers to the standardized futures contracts with stock index as the subject matter.The innovation of stock index futures for the financial industry provides an alternative way,deepening the investment channels of monetary management,breaking the original not only to do more short mechanism and innovating in the economic field.There are currently three stock index futures in China Financial Futures Exchange,CSI 300 stock index futures,the SSE 50 stock index futures,CSI 500 stock index futures.The stock index futures as the research object of inter-commodity arbitrage has practical significance and intends to other investors hedging reference.First,this paper describes an overview of the stock index futures and arbitrage and the type and form of the stock index futures arbitrage through a specific case.Secondly,in the part of empirical research,this article select more mobile,more relative contracts as samples and IF and IH of the three main contract is selected through the concrete data for liquidity and relevance.Then,statistical arbitrage cointegration theory and VECM model of China's stock index futures a inter-commodity arbitrage empirical research based on data.From the selection to construct a series of tests to model the trading signals,and finally through the arbitrage strategy back testing,draw out sample arbitrage results.The results show that VECM model performs better when IF is overestimated and IH is undervalued.