Research Of Risk, Cost And Choice Of Spot On Future And Spot Basede On Shanghai And Shenzhen 300 Stock Index Futuer

China has published Shanghai and Shenzhen 300 stock index on april 8, 2005, and China financial futures exchange has also set up in shanghai on September 8, 2006, simulated trading of stock index futures is in full swing. Leaders of securities regulatory commission and China financial futures exchange positioned that preparations of stock index futures have completed basically in many occasions, and would launch it in a appropriate time.You know Chinese capital market is an emerging market, and the fluctuation of stock market is very fierce, many times more than 3%. Now simulated trading of stock index futures prices wrong usually, you can guess, in the early stage of trading of Chinese stock index futures, the arbitrage opportunity of futures and spot will appear frequently. Therefore, studies in futures and spot arbitrage have great practical significance and forward-looking.The article outlines the production and development of stock index futures firstly, and introduces its character, function and impact on stock market. In addition, the article also introduces the basic information of Shanghai and Shenzhen 300 stock index futures. The dissertation introduces the concept, function and types of arbitrage, and the chapter focuses on pricing of stock index futures and principle of arbitrage of futures and spot. The costs of trade and financing are calculated according to the actual situation of china capital market, and deduces the arbitrage-free interval of china securities market. In current market environment, arbitrage of futures and spot is not entirely risk-free, many uncertainties will affect the effectiveness of arbitrage, or even threaten the success or failure of arbitrage. The dissertation attempts to decompose uncertainties from the whole process of arbitrage, and judge the nature of these risks to find corresponding program which is useful to investor's arbitrage business.The choice of spot is one of important contents. The article analysis the choice basis of stock(liquidity. the market value of flow and linkage effect between plates, using VAR model quantifies liquidity of stock), analysis the choice basis of the subject index funds and ETF. To determine the optimal rations of ETF portfolio using GARCH and OLS models. The following conclusions:(1)Arbitrage-free interval exists really in china securities market and the interval can be calculated approximate.(2)Investors can lower the loss brought by arbitrage risk according a series of effective methods.(3) On the 3 spot, ETF's tracking effect is best, and the portfolio of ETF50 and ETF100 is more precise, and the article gives the optimal ration.