Issues Related To Research Of Our Country's Stock Index Futures Arbitrage

Stock index futures market is copy stock trading by futures trading, its main purpose is to service the stock market, its functions are price discovery, risk aversion, and stabilizing the capital market, above all, stock index futures pricing is the key to these effects, therefore it is particularly important to study the stock index futures pricing. China’s stock index futures has been launched nearly three years, the stock index futures pricing still remain in theoretical research and simulation data in empirical research, less study using real data after the formal launch of stock index futures, in this paper, we learn and absorb foreign research based on in-depth theoretically, explore the pricing of stock index futures, stock index futures pricing models and stock index futures risk-free arbitrage, and use1-minute high frequency data to the corresponding empirical research.This paper first reviews the related futures pricing theory, find futures pricing methods have two ways——cost and the expected, and give stock index futures pricing model with considering short selling costs, transaction costs and initial margin and use high-frequency data in the empirical test.Finally, this paper analyzes the cause of stock index futures price deviating-Arbitrage and in-depth analysis on the elimination of price divergence. After in-depth discussion, in the end, we clearly stated the importance of index trading funds and short-selling mechanism, and suggested that China’s securities market should launch more Shanghai and Shenzhen300index exchange-traded funds, and the short-selling mechanism should be perfected.