exchange rate risk
The marketization trend of China's foreign exchange policy is becoming more and more obvious, and the exchange rate fluctuation between RMB and the world's major currencies is also increasing. Failure to effectively avoid exchange rate risk will directly lead to the failure of arbitrage trading.
Capital flow risk
The capital flow under China's capital account has not been liberalized, so arbitrage must involve the capital flow between the two markets. If this problem cannot be effectively solved, it will lead to the situation that arbitrageurs have to prepare enough funds in two markets to prevent short-term price risks, which will greatly reduce the efficiency of the use of arbitrage funds.
Internal economic policy risks of stock index futures products in the market
Every country has its own economic policy, and the implementation of different economic policies will bring great risks to unilateral arbitrage of stock index futures in a short time.
Therefore, in a period of time, domestic stock index futures arbitrage will mainly take spot arbitrage and intertemporal arbitrage as the main arbitrage methods. Spot index or portfolio will participate in spot arbitrage of stock index futures. For the Shanghai and Shenzhen 300 Index, there are as many as 300 constituent stocks, and the liquidity of each constituent stock is different. Therefore, it is difficult to open the spot index at the same time.
At present, there are funds tracking the Shanghai and Shenzhen 300 stock indexes in the market, such as Harvest Shanghai and Shenzhen 300 Index Fund. It is theoretically feasible to replace the spot index with such funds. However, there is liquidity risk in practical application. The daily turnover of Jiashi CSI 300 and Dacheng CSI 300 is very low. Lack of liquidity will bring fatal risks to arbitrage trading.
Another asset with high correlation with stock index futures is the ETF corresponding to the stock index. Although there is no Shanghai and Shenzhen 300 index ETF at present, ETFs 50, ETF 100 and ETF 180 have been traded. Most of the sample stocks of these three ETFs are sample stocks of the Shanghai and Shenzhen 300 Index, so they have a high correlation with the Shanghai and Shenzhen 300 Index and can be used as futures with the Shanghai and Shenzhen 300 Index in theory.
The correlation coefficients and liquidity of ETF50, ETF 100 and ETF 180 with the Shanghai and Shenzhen 300 Index are as follows:
Correlation between Shanghai and Shenzhen 300 Index and Fund Return Rate
The relationship between the tracking index and the yield of the Shanghai and Shenzhen 300 Index and the correlation coefficient between the tracking index and the daily average turnover (ten thousand yuan) yield of the Shanghai and Shenzhen 300 Index.
Dacheng 30010.0474310.1
Jiashi 30010.61277 86438+067+0 86.67
ETF 50 0.96862 0.92277 59758 1.2 6 177.9 1
ETF 100 0.98090 0.95687 19333 1.4 1562.38
ETF 180 0.99372 0.89468 14256.34 434.77
Combination of ETF 100 and ETF 180 0.94992103793.871505.85.
Note: The daily average turnover is calculated without the initial data of listing, and the arbitrage between the spot assets of Shanghai and Shenzhen 300 stock index futures calculated with the data of stable turnover must meet two conditions. First, they must be highly correlated with the Shanghai and Shenzhen 300 stock indexes. The higher the correlation, the greater and faster the possibility of deviation and repair between them. Second, the liquidity should be high, which determines the impact cost and the operability of the arbitrage scheme. It can be seen from the calculation results that although the correlation coefficient between ETF50 and CSI 300 index is not the largest, it is similar to the largest ETF 100. In terms of liquidity, ETF is the largest, namely
ETF 100 and ETF 180 are 4 times and 14 times respectively, so ETF50 is more suitable for arbitrage with Shanghai and Shenzhen 300 stock index futures than others.
In order to facilitate the calculation, first, the daily closing price of ETF50 is converted into an index, and the closing price of Shanghai and Shenzhen 300 Index on February 23rd, 2005 is taken as the spot price. Using interval pricing model to calculate the upper and lower limits of arbitrage-free interval. Among them, the futures contract is the futures contract that expires in the current month, and the calculation interval is from February 23rd, 2005 to September 4th, 2006/kloc-0. For the convenience of calculation, the 50-day closing price of ETF50 is converted into an index, based on the closing price of Shanghai and Shenzhen 300 Index 1043.94 on February 23rd, 2005.
The capital cost is calculated according to the one-year loan benchmark interest rate, and the interest rate in the discount factor is calculated according to the one-year deposit benchmark interest rate. In May 2006, ETF50 paid dividends on 18, and 10 paid dividends of 0.24 yuan. The handling fee of Shanghai and Shenzhen 300 stock index futures is calculated according to each lot 10 yuan, and the transaction fee of ETF50 is calculated according to 0.25%. Because the impact cost is not easy to determine and is related to the amount of arbitrage funds, the impact cost is not included in the transaction cost.