Study On The Index Arbitrage Strategy Of Stock Index Futures

Stock index futures is an important financial derivative instrument,which has the basic functions of price discovery and hedging.The emergence of stock index futures not only enriches the types of investment products,but also helps investors avoid risks.There are many kinds of arbitrage strategies in stock index futures.Among them,spot arbitrage is a research hotspot in the current financial market and one of the common trading strategies.The use of spot arbitrage is conducive to price discovery,can adjust the deviation between futures and spot prices,and improve the rationality of futures pricing.Based on the theoretical analysis of stock index futures arbitrage,this paper analyses the general situation of the development of stock index futures in China.Based on the relevant data of the Shanghai 50 stock index and the theoretical structure of holding cost pricing model,this paper makes an empirical analysis of the spot arbitrage strategy of stock index futures.Firstly,this paper focuses on the relevant pricing theory of stock index futures futures spot arbitrage,and studies the relevant literature at home and abroad.Most of the domestic studies take Shanghai and Shenzhen 300 as the analysis object,while the relevant research of Shanghai 50 is less.Therefore,this paper takes the Shanghai 50 as the empirical research object.Through the analysis and observation of the data,this paper finds that the data of current month contract,next month contract and current quarter contract are highly correlated with spot price data.Therefore,in the empirical analysis,we can choose the prices of current month,next month and current quarter contract as empirical data to analyze and test.Then based on high-frequency data,observe the existing arbitrage opportunities,combined with the theory and model of spot arbitrage,use MATLAB to compile the strategy program,calculate its yield,through a variety of comparative analysis of the benefits and risks of arbitrage,and put forward relevant suggestions for investors.The innovation of this paper is to update the cost factors in the empirical analysis so as to make the arbitrage effect closer to the actual market situation.After verifying the feasibility of the holding cost model,according to the fluctuation of the base difference,the arbitrage operation is put in different environments for the return and risk analysis.The study finds that there are arbitrage opportunities in China’s stock index futures market,which also reflects the lack of market effectiveness,and is not conducive to the function of hedging and price discovery of stock index futures.In the analysis of arbitrage returns,it is also found that,with the maturity of the market,high frequency data can better capture arbitrage opportunities.Arbitrage costs have a greater impact on arbitrage returns.The increase of arbitrage costs will greatly reduce the arbitrage space.From different stages,when the fluctuation of the basis is large and the spot market price difference is large,there will be more arbitrage opportunities in the future and spot arbitrage strategies.In the analysis of arbitrage risk,it can be found that in the volatility stage,investors face greater risks when carrying out spot arbitrage than in the stable stage of base volatility.Therefore,it is suggested that investors should be rational when investing,arbitrage on the basis of taking full account of risks,and consider the high cost of liquidating current positions in the market,so they should not blindly carry out high-frequency trading.