Author(s)

Jianwen Zhang, Guoqiang Tang^*, Qiaofen Miao, Jingling Yang

College of Science, Guilin University of Technology, Guilin, China.

Taking the CSI 500 stock index futures as the research object, the regression model of dummy variables of five indicators, including high-frequency return rate, volume change rate and near and far month contract price, was established. Then test whether these five indicators are affected by intraday effect and carry out statistical arbitrage based on intraday effect of spread. The empirical results show that the CSI 500 stock index futures have obvious intraday price fluctuations within 15 minutes of opening, and the intraday effect of the near-month contract is more significant than the far-month contract. The arbitrage strategy based on the intraday effect of spreading all the sample of both inside and outside can achieve higher success rate and yield, which is suitable for the short-term arbitrage. In actual trading, given the known probability of intraday profit, the intraday arbitrage method can provide reference for trading operation and risk aversion, so as to avoid losses caused by missed arbitrage opportunities.

Intraday Effect, Virtual Variable Regression Model, Stock Index Futures, Statistical Arbitrage

Zhang, J. , Tang, G. , Miao, Q. and Yang, J. (2019) The Statistical Arbitrage Study of CSI 500 Stock Index Futures Based on Intraday Effect. Open Journal of Business and Management, 7, 1095-1111. doi: 10.4236/ojbm.2019.73075.