The Research About The Arbitrage Opportunity Of Stock Index Futures

The stock index future is an important innovation in Chinese financial market.The stock index future plays a crucial role in price discovery and hedging.From June to September 2015,A-share market experienced a“crash”.In order to maintain the stability of the capital market,CFFEX gradually tightened its restrictions on stock index futures,and the margins requirements reached 40%after the most stringent regulations.Fortunately,in February 2017 and September 2017,CFFEX eased its restrictions on stock index futures trading.At present,the margin requirement of CSI 300 stock index futures and SSE 50 stock index futures are 15%,and the margin requirement of CSI 500 stock index futures is 30%.Does the CFFEX’s policy affect the pricing efficiency of stock index futures?This paper study the pricing error series of three stock index futures launched by CFFEX.Firstly,we analyze factors of the pricing error by multiple regression model.The result shows that the pricing error is significantly positively correlated with the trading volume;the pricing error is significantly positively correlated with the volatility.We employ the panel data policy evaluation approach(Hsiao,2012)to study the CFFEX’s policy effect.The result shows that the CFFEX’s policy has a significant impact on the pricing error.Secondly,we establish a vector autoregressive model by the pricing error series of the three stock index futures,the result shows that three pricing error series are Inter-Granger causality.Finally,the arbitrage ’strategy is based on the pricing error and the cost.When the pricing error break through the boundary of no-arbitrage interval,we do the arbitrage operations.we then forecast the direction of the pricing error(Brooks et al.,2001)and construct the new strategy to choose a better timing to do arbitrage operations with the help of the direction.The result shows that the average return and sharpe ratio rise slightly after modifying the strategy.