Stock Index Futures Arbitrage Analysis Based On The Transaction Cost

As an important financial derivatives tools launched in China in 2010, Stock index futures has its unique index characteristics and shorting mechanism, which makes institutional investors found arbitrage opportunities by the difference between the spot prices and the futures price, to get the risk-free-return opportunities. In this article, we try to analyze the period of arbitrage by the spot and futures combination, from the feasibility principle, to arbitrage pricing model of stock-index futures, to find out the stock index futures price according to the model theory. Combine the theory of actual transaction cost in stock index futures; a dynamic "no-arbitrage interval" is developed. When the stock index futures prices exceed this article no-arbitrage interval, there is a chance of arbitrage.In this thesis, through the research focusing on arbitrage trading costs analysis, including fixed costs, variable cost and risk cost, we concluded application value most conform to the cost of a real environment, to set the value of no-arbitrage interval. Different from previous theory study without fully consider the cost factor, the no-arbitrage interval corresponding expand joined to the precision arbitrage model cost valuation, leading to practice arbitrage opportunities and arbitrage earnings reducing. The result is consistent with the fact.This thesis selects out settlement data of stock index futures from April 16, 2010 to 2010 December seventeenth, totaling 164 trading day. Upon careful examination, an investment portfolio combined with 50ETF and 100 ETF is used by their closing price everyday. According to calculated results, arbitrage opportunity has presented by 88days, as 78 times among them get actual profit. As single arbitrage average returns of annual rate converted 20.41%.