从仿真交易看沪深300指数期货的期现套利

在考虑了交易成本、指数期货保证金水平以及跟踪误差等因素后，本文给出了沪深300指数期货无套利区间。选择ETF组合作为沪深300指数现货的替代，根据日均跟踪误差最小化原则确定各ETF比重。利用中金所仿真交易数据，我们发现，各仿真合约的错误定价率平均都在8％以上，但在7月份以后显著下降；已到期合约IF0707的平均月化套利收益率为9％，三个未到期合约同样存在可观的套利收益。本文通过分析沪深300指数期货的期现套利，以期为期货交易的政策制定者和投资者提供科学的可操作的参考意见。

Arbitrage in Simulated Trading In Shanghai-Shenzhen-300 Index Futures

Non-arbitrage interval for Shanghai-Shenzhen 300 Index future is estimated after taking consideration of such factors as transaction cost, margin requirement and tracking errors. ETF portfolio is substituted for Shanghai-Shenzhen 300 components and portfolio weights are determined in order to minimize tracking errors. Using mock trading data from China Financial Futures Exchange, we find that average mispricing rate stayed above 8% for all contracts and has been declining sharply since last July. Matured contract IF0707 received an average monthly return of 9% and a good return is also expected for the three effective contracts yet to mature. Through the analysis of HS-300 Index future arbitrage, the author wants to provide some scientific theoretical reference for policy makers as well as the investors.