Arbitrage In HS300Index Futures Market

On April10,2012, HS300index futures are introduced in China derivativesmarket. It is available for the investors to arbitrage among futures, or between stockindex and index futures. As a developing stock index futures market, Statisticarbitrage technical skill is a promising method which take use of the irrationalarbitrage opportunity. The essay researches high frequency data to evaluate Chinaindex futures market. The data cover four different periods.The essay applies the co-integration method to evaluate the long-term relationbetween index futures and index stock, which is necessary for arbitrage opportunity.The four empirical prove the long-term relation. The co-integration could adjust itselfand retain in a relative rational extent.The arbitrage effect among index futures as well as stock index is quietimpressive in the choosing periods. During most periods, the average yet rate is8times the deviation. The arbitrage time is about30%the whole trading time. Amongthe arbitrage, it demonstrates that the long positions tend to be more than the shortpositions between futures. As the arbitrage between stock index and futures, noobvious bias is observed.The empirical results demonstrate that the irrational relation between futuresweaken as the trading go to some extent as the yet on average risk become smaller.But the arbitrage minutes fail to decrease; it shows the market is not completelyefficient. On the other hand, the irrational relation between index futures and stockindex weaken to some extent as the average yet on average risk fail to decrease. But the arbitrage time decrease obviously. As a whole, the HS300index futures market isnot efficient.