An Empirical Study On Cross-variety Arbitrage Strategy Of Stock Index Futures In China

Statistical arbitrage of stock index futures in the application of international futures market has already been mature,the launch of stock index futures in China time is late,however,CSI 300 stock index futures as the first stock index futures,futures market in China on April 16,2010,officially launched in cicc’s issue,only for the scholars to research in China stock index futures arbitrage.Subsequently,on April 16,2015,China Financial Futures Exchange simultaneously launched CSI 500 and SSE 50 stock index futures.The launch and issuance of these two stock index futures enriched the types of cross-variety arbitrage of futures in China.In terms of the present research situation,the financial futures arbitrage especially across species,much less than the commodity,under this premise,this paper choose SSE 50 index futures IH,CSI 300 index futures IF and CSI 500 index futures IC three index futures contracts as the research object,through the analysis of the result of the arbitrage strategy across varieties,to investors and relevant institutions and departments put forward countermeasures and suggestions to promote the research of China’s stock index futures market to a certain extent.In this paper,a total of 3,808 sets of data are selected from the 30 min high-frequency trading closing prices of the main contracts of three stock index futures from August 30,2018 to August 31,2020.Model tests are conducted on the data in the sample interval successively.The test shows that there is a long-term and relatively stable equilibrium relationship between the pairs of three stock index futures.Illustrate three stock index futures portfolio are suitable for cross-variety arbitrage.As for cross-variety arbitrage of stock index futures,there are many economic models that can be selected and applied.In this paper,error correction model and GARCH model are selected to determine the proportion of arbitrage positions between the three stock index futures arbitrage portfolios and the threshold points of strategies determined by the conditional variance in the GARCH model equation.The results show that the arbitrage strategy designed in this paper is feasible.The three stock index futures arbitrage portfolios are all positive returns,with a high win rate and a small maximum retracement rate,indicating that the risk control ability is good while the return is guaranteed.In order to verify the in-sample conclusion,this paper selects the high-frequency trading closing price of the main contract of three major stock index futures for 30 min from September 1,2020 to December 31,2021 as out-of-sample data for backtest test,and the results also show that the strategy is feasible.After comprehensive analysis of the arbitrage results inside and outside the sample range,it is concluded that the cross-variety arbitrage strategy of stock index futures designed based on the model in this paper has the best effect on the three groups of stock index futures arbitrage combinations,followed by IH and IC,and finally IF and IC.In addition,this paper puts forward relevant countermeasures and suggestions from the three perspectives of arbitrage model,investors,government and regulatory authorities.