Research On The Current Arbitrage Trading Strategy Of Stock Index

There are many financial instruments on the market for investors to choose from,and each financial instrument has its advantages and disadvantages.Since the beginning of June 2015 and the end of 2018,as the stock market has fluctuated all the way down,many partial stock investors have suffered heavy losses.At the same time,there have been a large number of investors in the market who use the stock index arbitrage as an investment method.These investors aim to avoid systemic risks while pursuing risk-free profits.All of the premise comes from China.The government is gradually opening up the short-selling mechanism and gradually strengthening the management mechanism.Since April 2010,China Financial Futures Exchange has launched its first stock index futures product,the Shanghai and Shenzhen 300 stock index futures.As a derivative financial instrument,stock index futures not only has the functions of hedging and price discovery,but also can carry out arbitrage and speculation.The emergence of stock index futures not only makes investors' choice of financial instruments more and more extensive,but also changes the situation that China's securities market has been unilaterally trading.With the wave of bull markets opened in the second half of 2014,many investors in stock index futures have earned a lot of money through leverage.Subsequently,China Financial Futures Exchange launched two stock index futures products,namely,SSE 50 stock index futures and CSI 500 stock index futures.At the same time,Shanghai Stock Exchange also launched SSE 50 ETF option in February 2015.China can short The financial instruments have been further enriched.However,with the start of June 2015,the major stock indexes have turned sharply.The stock index futures played the role of the former row of soldiers.So many investors and regulators have also found the adverse effects of stock index futures on China's securities market.Stock index futures investors also carried out a series of measures such as limiting positions and increasing margins.The trading volume of stock index futures reached a low point,but regulators threw encourage investors to use stock index futures for hedging.In the process of continuous volatility and decline,it is too risky to invest in the single market.Therefore,many institutional investors begin to study the futures carry trade strategy of stock index,aiming to carry out arbitrage through the unreasonable spread between stock index futures and spot index.With the increase of arbitrage investors,various arbitrage models come out one after another,and various institutions are competing for the accuracy of the model.Therefore,the price difference between stock index futures and spot prices in China can be kept within a reasonable range for a long time,and arbitrage opportunities are gradually reduced.However,due to the high starting point and high cost of short selling mechanism in China's capital market,the composition of investors in futures market and spot market is completely different.The spot market is dominated by individual investors,accounting for nearly 80%,while the futures market is dominated by institutional investors.Even if the individual investors in the futures market,are also based on speculation,to bear the unilateral risk is relatively large.This article through the stock period is arbitrage strategy research,to the choice of the individual investors a new way of investment,and income compared with bank financial and monetary fund is also high,paid to time cost relative to the high frequency to the smaller number of investors,a few times a year for arbitrage opportunities can realize the property to maintain or increase its value.Index is arbitrage strategy of study,this article mainly has three points:first,determine the no-arbitrage interval of stock index futures,as capital holding cost,transaction cost and impact factors such as the existence of stock index futures and spot price gap within a certain range is no arbitrage opportunity,thus calculate the no-arbitrage interval is the premise to carry.Second,how to construct the portfolio of spot assets?This paper USES two methods to construct the portfolio of spot assets.The first is the full replication method,through which ETF funds tracking the CSI 300 index are arbitraged with IF contracts for the next month.The second method is to select 10 stocks from the CSI 300 index through sampling and replication,and then give them a reasonable weight according to the method of multiple regression analysis,so as to make the fitting degree as high as possible and the tracking error as small as possible.Third,choose when to unwind.According to the theory,there are two main time points for the liquidation of forward arbitrage,one is the delivery date of stock index futures,and the other is that the price of stock index futures returns to the no-arbitrage interval.When to choose the liquidation also has an impact on the result of forward arbitrage.Finally through empirical,2018 is still on the market to arbitrage opportunity now,and the combination of two kinds of spot have ideal arbitrage profits,but the reverse arbitrage suggest using sampling method of replication as a spot,is using a combination of ETF as a spot for arbitrage,because in the building's spot sampling replication method combination and the CSI 300 index under the premise of high fitting degree,the arbitrage profit close to,so choose the combination of relatively convenient operation.