Cross-market arbitrage of stock index futures is an arbitrage trading behavior of the same futures product between futures trading markets in different countries and regions around the world. Especially when the same stock index futures contract is traded in two or more exchanges, there is a certain price difference between the contracts due to the time zone and geographical differences between regions. For example, the Nikkei 225 index futures contracts are listed and traded on Osaka Stock Exchange (OSE), Singapore Stock Exchange (SGX) and Chicago Mercantile Exchange (CME) respectively. The subject matter of the three futures contracts is the Nikkei 225 index, but the contract multiplier, quotation unit and trading time are different. Among them, the Nikkei 225 index futures contract listed on Osaka Stock Exchange is quoted in yen, and the contract multiplier is 1000 yen/index point. Both Singapore Exchange and Chicago Mercantile Exchange have Japanese yen-quoted Nikkei 225 index futures contracts and US dollar-quoted Nikkei 225 index futures contracts. Among them, the index futures contract quoted in yen, the contract multiplier is 500 yen/index point; The contract multiplier of an index futures contract quoted in USD is USD 5/index point. In addition, the futures contracts of the Nikkei 225 index of the Chicago Mercantile Exchange can be hedged and closed on the Singapore Exchange. The opening time of Singapore Stock Exchange is longer than that of Osaka Stock Exchange, which provides opportunities and convenient trading channels for the arbitrage of Nikkei 225 index futures contracts of the three exchanges. Once investors find that the Nikkei 225 index futures contracts listed on a certain exchange have changed, they can buy (sell) contracts on this exchange, sell (buy) the same number of contracts on another futures exchange, and then close their positions at the same time after the spread between them has recovered to a reasonable level to earn the spread.

At present, there is no legal basis for domestic ordinary investors to engage in overseas stock index futures trading. In addition, because the three major stock index futures launched by CICC do not have the same varieties in overseas markets, domestic ordinary investors are still unable to carry out cross-market arbitrage trading of stock index futures. Only the FTSE A50 stock index futures of Xinhua launched by SGX are similar to those of domestic SSE 50 stock index futures. If there is arbitrage between two varieties, it should be cross-market and cross-variety arbitrage. After all, the two stock index futures are still very different in terms of underlying stocks. Among the constituent stocks of Xinhua FTSE A50 Index, in addition to the stocks of Shanghai Stock Exchange, there are also some stocks of Shenzhen Stock Exchange.