In this paper, the arbitrage process between stock index futures and spot based on the ETF portfolio is studied through high frequency data. In consideration of the transaction cost through the 12 futures contract in 2013 with 5 minutes high frequency data, the model of ETF arbitrage fund portfolio stock index futures is constructed using no arbitrage interval analysis method. It is found that the reverse arbitrage opportunity of China's stock index futures market is less than positive arbitrage opportunity. The mispricing rate in the process of spot and future arbitrage is high and shows non-equilibrium. Moreover, the introduction of margin trading inhibits the arbitrage behavior. Due to a higher cost rate of margin trading, which also makes arbitrage-free interval of margin trading investor expand, it gets the positive arbitrage opportunity greater than the positive arbitrage. As the transaction time of the quarter-month contract is relatively long, so its arbitrage opportunity is far more than other types of index futures. But continuous positive arbitrage opportunity of the quarter-month contract is more than the other types of contracts, and the continuous reverse arbitrage opportunity of it is significantly fewer than other types of contract. Although the future delivery date price limitation is of 20% by the trading rules, it is found that in the delivery day, total number of over boundary of arbitrage-free interval, longest duration of over boundary, average mispricing rate, return of instantaneous arbitrage, continuous arbitrage opportunity of two types investors are almost same. For the delivery day, the volatility degree of index future price last two hours is significantly lower than the volatility of two hours before, it is because that the final delivery price of future is confirmed by average stock index futures price of last two hours, which makes the price stabilize. This study is helpful to improve the efficiency of stock index futures arbitrage trading to a certain extent.
WANG Liang, QIN Long-hao, LIU Xiao, CHEN Jie
. A Study on Stock Index Futures Arbitrage by ETF with High Frequency Data[J]. Chinese Journal of Management Science, 2018
, 26(5)
: 9
-20
.
DOI: 10.16381/j.cnki.issn1003-207x.2018.05.002
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