本文的重点在于讨论利用两个证券市场中的创新产品：创新指数型分
级基金和股指期货。

本文的创新之处在于：
1） 本文参考封闭式基金折价现象的研究文献成果，使用第三阶段
创新指数型分级基金历史数据（2010 年 01 月 01 日-2012 年 02 月 29
日）验证了创新指数分级基金的折溢价现象和套利机会客观存在；
2） 利用股指期货进行创新指数型分级基金组合套利时，本文将该
问题从理论模型角度推广至实践，从收益和风险两个角度进行了分
析。

关键词：创新指数型分级基金，折溢价现象，股指期货，套利
THE RESEARCH OF INDEX FUTURE ARBITRAGE
- INDEX STRUCTURED FUND ARBITRAGE
ABSTRACT
Since 1990s, China has went through radical changes especially for
its finance market．In recent years, China finance market has more and
more innovation on regulation and products, such as stock, bond ,option
and future.
There is the discussion for two products: index structured fund and
index future.
These are the article’s innovations:
1) Reference to the close end funds’ discount phenomenon research,
I used the phrase three index structured fund history data (2010-01-01 to
2012-02-29) to verify the discount and premium phenomenon and
arbitrage opportunity objectively existence.
2) Using index structured fund and index future, I used the
arbitrage from the specific to the general in the article and analysis the
return and risk.
KEY WORDS: index structured fund, discount and premium
phenomenon, index future, arbitrage。。。