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中文摘要：
分析ETF基金组合与沪深300指数期货合约的套利交易，研究中国股指期货市场定价效率及投资者行为对其的影响．根据资金来源不同，将套利分为自有资金套利与融资融券套利两类，据此计算两类套利的无套利区间．套利交易分析结果表明，部分合约反向套利机会远大于正向套利，套利机会呈单边趋势．虽然所有套利交易的平均利润大于零，但大部分合约正向套利平均利润大于反向套利平均利润，且在统计上更为显著．正向套利利润随到期日的临近而衰减，显示出成熟市场的特征，而反向套利则相反，显示出套利的无效率．
英文摘要：
Pricing efficiency of Chinese stock index futures market and the effective factors under arbitrage- free interval was tested, using high frequency exchange data of the ETF funds and HS300 index contracts. Arbitrage-free intervals were calculated according to different sources of funds. It＇ s found that the market performed ineffectively, for investors can profit from many of the 10 contracts under research. Although arbitrage opportunities are more in long positions than in short, the average profit of short positions is greater than that of long positions and statistically significant. Also, the average profit of short positions increases with time to re- main, as is in accordance with developed market characteristics. But it is the different in long arbitrage which implies a low efficiency.
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