| The arbitrage of stock index futures has always been one of the study field of manyoutstanding scholars. There are many types of arbitrage, for example, arbitrage with stockindex futures and stocksã€time-related arbitrage and market-cross arbitrage. And the firsttype of arbitrage is the most popular of arbitrage. This paper beginning with the arbitrageabout stock index futures and stocks, committed to research the arbitrage-free intervalã€therisk of arbitrage and the strategy of arbitrage. In this paper, we select the csi300stockindex futures as the object of study, because of the launched of the csi300ETF in April2012, brought a new object of arbitrage, so we use the csi300as the main object ofarbitrage study.Arbitrage with the csi300stock index futures and csi300ETF brought us a lot ofadvantages, for example, the cost of csi300ETF is low, no taxes and dues. So this way isfeasible. We prepared this paper on the basis of existing achievements, elicited thearbitrage-free interval, and then, we add the parameters of the Chinese financial market inorder to perfect the arbitrage-free interval, after that, we used the data in reality to build themodeling and empirical test, finally, we provide the investors a whole process of arbitrage. |
