Original Research Article Stock Index Futures in China; Hushen 300 Index

This paper examines the arbitrage-induced in regimes (upper, inner and lower regime) price dynamics between Hushen 300 index spot and futures markets using a threshold cointegration analysis and Error Correction Model (ECM) on china stock market index.. The studies are carried out from 426 observations with samples selected from 04/16/2010 to 03/16/2012. We are interested to know what extent of mispricing would represent for profitable arbitrage opportunity. Futures prices would have a fluctuating effect within lower and upper thresholds by the factors of transaction costs and arbitrage risks, but no profitable arbitrage opportunities within this area. Keywords: Chinese Stock; Index Futures Market; Intraday; Cointegration Analysis;