Empirical research of CSI-300 stock index futures arbitrage strategy

With the development of financial market, the share price index futures has been an important tool for investors to make profits in the financial market. There is more and more research on share price index futures, especially pricing models of the futures. In this paper, we combine the cost-of-carrying model with some factors of the real market in China to improve the cost-of-carrying model, so that this model can be more suitable to Chinese futures market. In addition, we test the effectiveness and the profits of the original model and the improved model respectively based on the CSI (China Securities Index) 300 stock futures market. The improved model is more effective than the original one according to empirical results and results show that investors can make more profits by adopting the improved model .