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

Yiran Gao ()
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Yiran Gao: Xi’an Jiaotong-Liverpool University

A chapter in Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022), 2022, pp 506-513 from Springer

Abstract: 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.

Keywords: Stock index futures; Spot index; ADF; Arbitrage; No arbitrage interval (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-052-7_60

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DOI: 10.2991/978-94-6463-052-7_60

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