摘要：我国与2010年正式推出了沪深300指数期货合约，并于同年挂牌上市。沪深300股指期货的推出标志着我国资本市场的发展迈上了一个新的台阶，丰富了我国投资者资本融资的方式和手段。但是我国对股指的研究领域还非常狭窄，主要集中于套利，对于期现的研究还比较少。
文章主要采用文献研究、制度比较等写作方法，论文第一部分阐明了研究股指期货期现套利的意义。第二部分对其套利原理进行进一步的说明。第三部分，是对股指期货期现套利策略的研究；最后一部分则基于沪深300股指期货对其进行实证分析。
关键字：股指期货； 套利策略； 沪深300
Abstract ：In 2010, China officially launched the Shanghai and Shenzhen 300 index futures contracts, listed in the same year. Shanghai and Shenzhen 300 index futures were upgraded to a new level, marks the launch of China's capital market development and enrich the ways and means of investor capital financing in China. However, the field of study of the stock index is also very narrow, mainly focused on arbitrage, for the period of the current research is still relatively small.
Article writing, literature research, institutional comparison illustrates the significance of a the research stock index futures arbitrage of the first part of the paper. The second part of its arbitrage principle for further instructions. The third part is the stock index futures arbitrage strategy; final part based on the Shanghai ang Shenzhen 300 index futures analyze it empirically.
Key words: strategy Indexfutur; arbitragestrategy; Shanghai and Shenzhen 300
