Arbitrage Opportunity Analysis Of Stock Index Futures And Sse 50 Constituent Stocks

This article mainly discussed the arbitrage of stock index futures based on SSE 300 index. The study objective is to discuss the feasibility of arbitrage trading under the consideration of impact cost.The core problem to index arbitrage is to construct the spot position, and the key point is confirmed the arbitrage bound. This paper based on SSE 50 index and 50ETF, analyzed the sample selection method in theβcalculation process, then got the each single variety of staticβ, and then drew out the history time series plot of dynamicβ;effectively solved the problem of the spot position in construction, and in the process of position, timely adjusting the spot position based on the reasonable forecasting method of dynamicβ, thereby obtaining the maximum income under low risk.After the calculation we found that SSE 50 constituent stocks and 50ETF staticβvalue 0.49595-1.35407 range, correlation coefficient is 0.46194-0.94973 range, includingβvalue of more than 0.9 for 37, correlation coefficient of more than 0.7 for 30, while at the same time satisfy the conditions of two for 23. Stock index futures conservative total impact cost is 0.75%, 50ETF is 1.07%, and the impact cost of single stock tend to higher, the SSE 50 constituent stocks total impact cost majority in 1.5%- 3.5%. In addition, the study found if no impact cost considered, by 11.12.15, stock index futures listed there have been 102 days to arbitrage opportunities, if consider impact cost, and with the 3‰included in, the only 48 days opportunity, obviously, the arbitrage opportunity will be greatly reduced due to the existence of impact cost.