摘要:股票指数期货是上世纪八十年代金融创新过程中出现的最重要、最成功的金融衍生工具之一。它是以股市的价格指数为交易标的物的标准化期货合约。根据持有成本定价模型，股指期货理论价格应该是对现货价格、借贷利率等交易成本以及股息收益的综合反映。当期货价格偏离由各种因素综合作用形成的无套利区间时，投资者可以通过正向或反向期现套利获取一定的收益。

　　　本文首先对股指期货套利交易予以概述，介绍了股指期货套利交易的概念、类型及特点。

　　　在第二章中，本文着重介绍了股指期货的定价和期现套利的原理，并推导出证券市场的无套利区间。

　　　在第三章中，针对我国正式推出沪深300股指期货交易后，我国投资者最可行套利交易策略，即期现套利予以详细的分析和实证研究，其中对于期现套利中采用ETF作为现货组合方式的操作模式进行了重点介绍，并实证分析了这种模式套利成败的关键因素：ETF跟踪偏离度。

　　　在第四章中，结合我国金融市场实际情况以及根据过去一段时间的交易数据，对沪深300股指期货进行期现套利交易实例分析。

　　　最后，本文得出以下结论：

(1)沪深300股指期货合约正式推出后，存在无套利区间，并且这个区间是可以大致计算出来的。 

(2)对于期现套利的现货组合选择给出三种方案，研究表明其中尤以采用ETF组合的方案简便可行，并通过计算跟踪误差给出组合结构比例，其对于沪深300指数的跟踪误差在可接受范围之内。

(3)对于期现套利策略给出我国交易的模拟实例。

关键词：沪深300指数，股指期货，期现套利

Abstract:Stock index futures was the most important and successful financial derivatives in the process of financial innovation in 1980s. It is a standardized futures contract based on all index of stock prices. According to the Cost of Carrying Pricing, the theoretical price of index futures should reflect the price of stock spot market, trading cost(such as the interest rate for capital borrowing), dividend gains and so on．Investors can get revenue by Cash and Carry Arbitrage or Reverse Cash and Carry Arbitrage, when the futures’ price diverge from the no-arbitrage area which is taken from the above factors．

　　　This paper outlined the concept, types and characteristics of arbitrage on stock index future contracts in the first chapter．

　　　Chapter 2 focuses on pricing of stock index futures and principle of arbitrage of futures and spot and deduces the arbitrage—free interval of china securities market．

　　　Chapter 3 gives a detail analysis including the mode choice of buy and sell the spot stocks in arbitrage strategy in view of the most likely used strategies by investors in China．The paper highlights the most important factor that is the Tracking-Errors(TE)．

　　　 At last the conclusions are：

　　　(1) Arbitrage-free interval exists really in china securities market and the interval can be calculated approximate．

　　　(2) There are three choices in the buying of the spot stock market．Among them using ETF to simulate Hu-shen 300 index is the most convenient and the cost is least．The TE is in the acceptable range．

　　　(3) Arbitrage of futures and spot is available in the simulation trade on Hu-shen 300 stock index future contracts.

Key Words：Hu—shen 300 stock index, stock index future, arbitrage of futures and spot