Empirical Study on Stock Index Futures Arbitrage and Relationship with Spot Index

Based on CSI300 Stock Index Futures

DOI

10.2991/978-94-6463-052-7_60How to use a DOI?

Keywords

Stock index futures; Spot index; ADF; Arbitrage; No arbitrage interval

Abstract

As a futures investment tool, stock index futures has been concerned by investors since its introduction and widely used as one of the ways of risk averse. This paper empirically analyzes the relationship between the stock index futures trading and the spot index of CSI 300 using the co-integration theory and Granger causality test. It is found that futures price has interaction with spot index. The ETF fund portfolio is used to track the spot index. And the risk-free arbitrage strategy is formulated between futures contracts and spot index. This paper intends to provide support for investors to invest rationally in stock index futures’ arbitrage trading.

Copyright

© 2022 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Yiran Gao
PY  - 2022
DA  - 2022/12/27
TI  - Empirical Study on Stock Index Futures Arbitrage and Relationship with Spot Index
BT  - Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
PB  - Atlantis Press
SP  - 506
EP  - 513
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-052-7_60
DO  - 10.2991/978-94-6463-052-7_60
ID  - Gao2022
ER  -