2010•Journal of Xidian UniversityRequires access

An Empirical Study of Arbitrage on HS300 Stock Index Future

Boyue Fang

Abstract

As the introduction of futures system,stock index futures are the result of futures and stocks market innovation,and stock index futures arbitrage plays a very important role in promoting marker efficiency.This paper reflects the whole arbitrage process of HS300 stock index futures and ETF fund simulation transactions,and we find many arbitrage opportunities in them.Finally,it points out 5 risks that investors have to prevent while using HS300 stock index futures to arbitrage

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Key concepts: Arbitrage, Index arbitrage, Futures contract, Stock index futures, Financial economics, Risk arbitrage, Index (typography), Convertible arbitrage