The Arbitrage Opportunities Analysis Of Huataibairui CSI300ETF And Stock Index Futures

Since launched in1982, stock index futures have developed quickly,behaved as hedging and arbitrage tools quickly recognized by the market.CSI300index futures started to trade in April2010, which is a milestone ofthe development of China’s financial market. With the continuousimprovement of the market mechanism, pricing errors of stock indexfutures caused by speculation changed gradually, Based on the principle ofno-arbitrage, we empirical study the changes of arbitrage opportunity innearly four years.Firstly, we take a brief overview of the characteristics of stock indexfutures, as well as forward strategies and reverse strategy, then we explainhow to use costs of carry model pricing of the stock index futures, besides,we take a detailed analysis of the factor that impact the stock index futuresprices, and thus describe the steps of arbitrage.Secondly, based on the no-arbitrage principle, we structure forward andreverse arbitrage portfolio strategy for solving the no-arbitrage interval.We choose Huataibairui CSI300ETF spot as the subject, and use threemethods measure the tracking error as the cost parameters of spot. Afterconsidering comprehensive measurement and empirical estimation of theparameters we start calculate the space of forward and reverse arbitrage.Finally, we use days of data and5minutes high-frequency data forstatistical analysis the number of index futures arbitrage, arbitrage space(depth) and arbitrage theory yields, then separately analyzed forward andreverse arbitrage concentrated appeared in three time intervals combinedwith the market volatility. The empirical results show that:1) forward arbitrage appeared much inthe first six months after stock index futures started trading, and with theextension of trading hours it reduced gradually;2) reverse arbitrage do notbehaved like that, but higher frequency and large arbitrage occured whenaccompanied by a sharp decline in the market;3) the empirical results of5minutes of high frequency data and daily data have little difference in thefirst two years after listing, but have significant difference after two yearslater, there occur more high-frequency arbitrage opportunities arbitragethen daily data;4)5minutes high-frequency data arbitrage opportunitieshave big volatility but actually do not continue long time, indicating thatprice volatility of the stock market days matured greatly and makes canquickly stabilize arbitrage opportunity;5) contrast two "money shortage"in2013, high-frequency arbitrage results behaved quite different,reflecting that the stock market matures, the effectiveness of arbitragemechanism have enhanced.