| China’s capital market’s first financial futures of Shanghai and Shenzhen300stock index futures contracts on April16,2010in the China Financial Futures Exchange. As a result, China’s capital market will enter the era of bilateral transactions, thus changing the unilateral profit model. The introduction of stock index futures opened the hedge fund’s first year, a variety of investment strategies will emerge, while the arbitrage strategy is a major investment strategy. The evaluation of arbitrage trading in stock index futures market has played the role of stability in the capital market. This is due to arbitrage trading activities to help the price discovery effectively and contribute to the improvement of market liquidity. Therefore, the carry trade behavior is essential for the healthy development of China’s stock index futures market. Arbitrageurs increase in the proportion of China’s stock index futures market participants, help to curb excessive speculation in the market.This article discusses only the calendar arbitrage of the China’s stock index futures. According to the sale and purchase agreements for the delivery month and traded on the direction of the difference, the stock index futures contract spread can be divided into a bull market arbitrage, bear market arbitrage and butterfly arbitrage. For simplicity, this article discusses only the calendar arbitrage time period of main contract and sub-month contract.Secondly, look at the direction of change in accordance with the spread, the stock index futures contract spread can be divided into positive arbitrage, reverse arbitrage.The calendar arbitrage Based on the cost of carry model insist that the theoretical price of the stock index futures should be equal to the cost of ownership of the subject matter of the spot price and the held-to-stock to index futures maturity date.If investors on the market are rational, and ability to access information convergence, the spread between the near and far contracts will always to a lesser extent around their reasonable spreads fluctuate. Once they spread deviation from a reasonable spread to a certain range, a lot of arbitrage trading activities happens, so the rapid convergence to a reasonable spread happens from non-reasonable spread. Calculate a reasonable spread and arbitrage upper and lower limits, you can create arbitrage strategy practices, build a strategy program, to form a system policy.The best way to practice a calendar arbitrage policy is program trading.The so-called program trading refers to the use of computer technology, logic and parameters of the trading strategies of the policy designers, computer programming, and the trading strategy systematic.This thesis will show the fact that the calendar arbitrage based on the cost of carry model is ineffective in the china market.ADF test on the sample sequence and the autocorrelogram test, showed that China’s stock index futures distance contracts’ spread sequence is not smooth, resulting in a sequence of non-stationary factors, coupled with China’s stock index futures market development is not yet mature, the lack of arbitrage investors and there are a lot of speculators, so, when the speculators’ expectations for the stock index market are distinct different, there is a big difference.Statistics-based calendar arbitrage is to exploit the long-run equilibrium relationship between the actual spread stability and variable, so as to formulate a relatively objective calendar arbitrage model based on statistical characteristics of the samples of the actual spread.The statistical calendar of Stock index futures contract usually based on the cointegration and based on GARCH theory.This paper will introduce a arbitrage strategy based on the basic statistics. Furthermore,the paper will show the program code which practices thisstrategy.This program is running on the mainstream program trading platform in china named TradeBlazer, and get validation in practice. |
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