Research On ETF Application In Stock-Index Futures Arbitrage

China has in this year's April 16th successful launch of the Shanghai and Shenzhen 300 stock index futures, this is not only the development of China's securities market is an important milestone in China's capital market has been more progress, and constantly a big step toward improved. Since then, China's securities market will completely change the status quo unilaterally, which is the stability of China's stock market also played a pivotal role. Meanwhile, the stock index futures trading this new variety, with its unique trading rules and the settlement also created many new profit model. Among them, the stock index futures on arbitrage has become popular in recent issues of concern to the market.Whether the combination of a decision to construct effective spot arbitrage one of the keys to success, but China did not spot the CSI 300 Index trade products, how to carry out in today's stock market simulation of a stock index futures on arbitrage a critical issue.This article on how to Shanghai and Shenzhen 300 stock index futures arbitrage in the structure of the spot as the focus of discussion to explore the use of ETF to build the Shanghai and Shenzhen 300 stock index futures combination possibilities. The main idea of this paper is related to stock index futures and the ETF started basic theory, introduced the basic theory of stock index futures and the need to pay attention to the risk of stock index futures arbitrage focused on the principles and methods, so that everyone on this new variety of transactions have a deep understanding. Then made a detailed analysis of ETF products, the product trading in the ETF and the ETF arbitrage model characteristics has done the relevant research, the Shanghai and Shenzhen 300 Index ETF spot in the constructor's advantage. Based on qualitative research, this paper and the Shanghai and Shenzhen 300 Index ETF correlation and tracking error of an empirical study, examined 2006 data since the 1049 trading days, from the results of view, ETF can be very good Simulation of the Shanghai and Shenzhen 300 stock index, and made a 2 on the use of ETF index futures arbitrage for instance, once again proved from the practical aspects of using the CSI 300 Index ETF to simulate the possibility of stock, and ETF in the stock index futures The practical application of arbitrage operations related recommendations are given.