Empirical Analysis of Stock Futures Arbitrage

  • Chang Li
Conference paper
Part of the Lecture Notes in Electrical Engineering book series (LNEE, volume 225)


Along with the development of the financial markets in China, stock index futures play an important role gradually in arbitrage, which contributes to the equilibrium pricing of stock index futures. This paper reviews Cost of Hold pricing model to determine arbitrage-free interval and gives an empirical analysis of the arbitrage of the CSI 300 stock index futures to reveal that there are widespread arbitrage opportunities in securities market of China. This paper begins with the simulation of the spot portfolio combination and then studies the Listed Open-Ended fund and ETF fund. Based on analysis of the 5-month data and no-arbitrage interval, we give a concrete arbitrage operation to put the arbitrage strategy in practice. At the end of the article, we give analysis of existing problems in stock index futures markets and put forward corresponding solutions so as to build a prosperous and stable financial market.


Stock index Arbitrage Empirical analysis 


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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  1. 1.Guanghua School of Management, Peking UniversityBeijingChina

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