沪深300股指期货跨期套利实证研究——基于真实交易数据的计量分析

沪深300股指期货的上市为股指期货跨期套利研究的实证分析提供了真实的数据基础。本文在对期货套利的概念和种类进行介绍的基础上,构建股指期货跨期套利模型,最后,以沪深300股指期货真实交易数据为基础进行了实证分析,结果显示,目前,国内股指期货市场存在较多的跨期套利机会,市场有效性缺失,并对此结果提出了相应的政策建议。

A Empirical Study about the CSI300 Index Futures Calendar Spread Arbitrage

The listing of CSI300 index futures provides the actual data basis for positive analysis of calendar spread arbitrage.Firstly,the paper introduces the conception and classification of arbitrage.Secondly,it builds the calendar spread arbitrage model for index futures.Finally,this article implements positive analysis by the CSI300 index futures actual trading data and provides corresponding policy advice.The result of positive analysis indicates that there are many calendar spread arbitrage opportunities in domestic index futures market.