基于高频数据的股指期货和ETF指数套利研究

The Index Arbitrage between ETF and Index Futures Using High Frequency Data

本文利用1分钟高频数据,在考虑了ETF冲击成本和ETF溢价的情况下,首次研究了标的物为沪深300指数成分股的ETF和沪深300股指期货之间的指数套利。研究结果显示,对于沪深300股指期货,负向套利的机会和平均收益远高于正向套利,ETF流动性不高和卖空困难导致的ETF高溢价可以解释该现象。在中国融资渠道不畅和卖空限制较多的背景下,指数套利交易者面临的主要风险是融资风险和价差收敛风险。研究结论既能指导投资决策,也丰富了有限套利理论。

Using 1 min high frequency data, this paper st between ETF whose subjects are CSI 300 constituent stocks and C ETF＇s impact cost and premium for the first time. The empirical are more reverse cash and carry arbitrage opportunities than cash udies SI 300 index arbitrage ex futures under results indicate that there and carry arbitrage due to ETF premium induced by low liquidity and short restriction in ETF market. The results infer that since there are financing channel blockage and short restriction in China, the index arbitragers theory, and face financing risk and spread risks. This paper enriches the limitedness arbitrage is significance for guiding investment.