An empirical study of calendar spread arbitrage based on high-frequency data: The case of CSI 300 index futures

Based on high-frequency data of CSI 300 index futures, this paper studies the profits of calendar spread arbitrage in the CSI 300 index futures market. This paper tests the co-integration relationship between two series of prices which are from two contracts with different delivery days. According to the theory of calendar spread arbitrage, we proposed a strategy which is effective in practice. Moreover, we test the effectiveness of this strategy using historical market data and record the opportunities and profits of arbitrage. The results show that there have been opportunities for calendar spread arbitrage since CSI 300 index futures launched. However, as the market is becoming mature and more traders enter in the market, the profits of calendar spread arbitrage are decreasing gradually.