利用无套利区间分析方法，构建了高频数据条件下基于ETF基金组合的股指期货套利模型，并对自有资金投资者及融资融券投资者的期现套利过程进行了分析。实证研究发现中国股指期货市场的正向套利机会多于反向套利机会，期现套利过程中的错误定价率较高，表现出非均衡性；融资融券的费率较高使得该类型投资者的无套利区间较大，而该做空机制的引入在一定程度上抑制了市场的过度套利行为。由于季月期货合约的交易时间相对较长，因此该类型合约的套利机会要多于当月交易的其它类型合约。即使交割日有20%的涨跌幅限制，但交割日当天的平均错误定价率、瞬时套利平均收益率与交割日的前三交易日相比基本相同，但连续套利机会有所增加。
In this paper, the arbitrage process between stock index futures and spot based on the ETF portfolio is studied through high frequency data. In consideration of the transaction cost through the 12 futures contract in 2013 with 5 minutes high frequency data, the model of ETF arbitrage fund portfolio stock index futures is constructed using no arbitrage interval analysis method. It is found that the reverse arbitrage opportunity of China's stock index futures market is less than positive arbitrage opportunity. The mispricing rate in the process of spot and future arbitrage is high and shows non-equilibrium. Moreover, the introduction of margin trading inhibits the arbitrage behavior. Due to a higher cost rate of margin trading, which also makes arbitrage-free interval of margin trading investor expand, it gets the positive arbitrage opportunity greater than the positive arbitrage. As the transaction time of the quarter-month contract is relatively long, so its arbitrage opportunity is far more than other types of index futures. But continuous positive arbitrage opportunity of the quarter-month contract is more than the other types of contracts, and the continuous reverse arbitrage opportunity of it is significantly fewer than other types of contract. Although the future delivery date price limitation is of 20% by the trading rules, it is found that in the delivery day, total number of over boundary of arbitrage-free interval, longest duration of over boundary, average mispricing rate, return of instantaneous arbitrage, continuous arbitrage opportunity of two types investors are almost same. For the delivery day, the volatility degree of index future price last two hours is significantly lower than the volatility of two hours before, it is because that the final delivery price of future is confirmed by average stock index futures price of last two hours, which makes the price stabilize. This study is helpful to improve the efficiency of stock index futures arbitrage trading to a certain extent.
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