Research on the stock index futures arbitrage: Price boundary and ETF tracking of stock index futures

This paper gives the boundary of the stock index futures price at first on condition that short selling costs, transaction costs and original margin are considered. Above result is on the assumption that the tracking error doesn´t exist when we track CSI 300 index. But this assumption can´t be fully realized. We can only try to minimize the error when we track the stock index futures. So the second part of the paper tracks CSI 300 index using SSE 50ETF, Shenzhen 100ETF, SSE180 ETF and the combination of above three ETF separately. We can find that the tracking effect of the ETF combination is better than the effect of using the single one. Of the three single ETF, the tracking effect of Shenzhen100 ETF is better than the effect of other two ETF.