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本文利用嘉实沪深300ETF和华泰柏瑞沪深300ETF来复制沪深300指数现货,进而构建沪深300无风险套利上边界和下边界,通过IF1304主力合约的走势来发现市场中存在套利机会。与国外股指期货双边套利不同,虽然融资融券业务融券业务于2013年2月28号开始运行,但标的仅限于80只股票,可见中国股指期货仍只存在单边套利,随着市场上更多机构投资者加入到股指期货投资,市场的有效性会进一步加强。通过对所选数据进行分析我们发现市场仍存在套利机会并进行展望。
In this paper, the use of Harvest Shanghai 300ETF and Huatai Parker Shanghai and Shenzhen 300ETF to copy the Shanghai and Shenzhen 300 Index spot, and then build the CSI 300 riskless arbitrage on the upper and lower borders, IF1304 through the main contract trend to find arbitrage opportunities in the market. Different from the bilateral arbitrage of foreign stock index futures, although the margin trading business of margin financing and securities lending business started operation on February 28, 2013, the target price is limited to 80 stocks, showing that there is still only one-sided arbitrage in China’s stock index futures. As the market more Multi-institutional investors to stock index futures investment, the market will further enhance the effectiveness. By analyzing the selected data, we find that there is still arbitrage opportunity in the market and look forward to it.