Abstract: With the VEC model and EGARCH model, the econometrical test was implemented on the interactive effects of arbitrage between HS 300 index futures and its spot markets. The results showed that the selling of futures contracts in arbitrage trading had led to a decline in futures’ prices, but its spot prices had not been driven by the buying of spot contracts because of the limited purchase transactions, which means the convergence of basis between HS 300 index futures market and its spot markets was not caused by the negative feedback effects between them, but because of the futures price’ faster response to information than the spot price. The above interactive effects meant that the arbitrage between HS 300 index futures and its spot markets had played a boosting role rather than a buffering role in the asymmetric volatility of the spot market.

Key words: Index Arbitrage, Positive Feedback, Negative Feedback, Asymmetric Volatility