The Research Of Index Future Arbitrage

Since1990s, China has went through radical changes especially forits finance market．In recent years, China finance market has more andmore innovation on regulation and products, such as stock, bond,optionand future.There is the discussion for two products: index structured fund andindex future.These are the article’s innovations:1) Reference to the close end funds’ discount phenomenon research,I used the phrase three index structured fund history data (2010-01-01to2012-02-29) to verify the discount and premium phenomenon andarbitrage opportunity objectively existence.2) Using index structured fund and index future, I used thearbitrage from the specific to the general in the article and analysis thereturn and risk.