Transaction data test of HS300 index futures pricing efficiency and index arbitrage profitability

Pricing efficiency of Chinese stock index futures market and the effective factors under arbitrage-free interval was tested,using high frequency exchange data of the ETF funds and HS300 index contracts.Arbitrage-free intervals were calculated according to different sources of funds.It's found that the market performed ineffectively,for investors can profit from many of the 10 contracts under research.Although arbitrage opportunities are more in long positions than in short,the average profit of short positions is greater than that of long positions and statistically significant.Also,the average profit of short positions increases with time to remain,as is in accordance with developed market characteristics.But it is the different in long arbitrage which implies a low efficiency.