股指期货套利的可行性探析（Feasibility analysis of arbitrage in stock index futures）.docVIP

股指期货套利的可行性探析（Feasibility analysis of arbitrage in stock index futures） An analysis of the feasibility of stock index futures arbitrage [Wang Hongyan] source: futures daily Since 1982, the Kansas futures exchange launched value line composite index futures, the use of index futures arbitrage investment approach also with the development of financial futures and vigorous growth. At the beginning of the introduction of stock index futures, the market efficiency is low, and investors can obtain almost risk-free profits through arbitrage. Chinas first financial futures - CSI 300 stock index futures is expected to be launched in the near future, how should investors seize the opportunity to capture risk-free arbitrage opportunities? First, the basic principles of arbitrage Index futures arbitrage is divided into index futures and spot index arbitrage, cross market arbitrage and intertemporal arbitrage. The present arbitrage risk is small and widely used. When the stock index futures price is higher than the reasonable price, the arbitrage person can sell the futures, and at the same time buy the corresponding quantity stock component according to the index proportion. When the futures expiration date is settled, the arbitrage profit can be obtained. So, how is this reasonable price determined? The classical model of index futures pricing is the cost pricing model, which is based on a series of theoretical assumptions. According to this model, the index futures pricing formula is: F=S * (1+r) (T-t) -D Where: F: the value of futures contracts at time t; S: the value of spot index at time t; R: risk-free interest rate; T: futures contracts expire time (year); t: now the time; D:t to T stock index cash dividend compounded at maturity time T sum. We call this equilibrium futures price as theoretical futures price. In practice, because the hypothesis of the model can not be fully satisfied, it may deviate from the theoretical price. However, if these factors are taken into cons