虽然股指期货迟迟没有推出 ,但是金融工具的多样化是金融市场发展的必然趋势 ,在中国资本市场推出股指期货也只是一个时间的问题。因此 ,本文对推出股指期货后机构投资者如何利用这一金融工具进行指数套利展开研究。本文将从中国股市无做空机制这一特有现象入手 ,提出在中国股市进行指数套利的策略。 Although stock index futures have not yet been introduced, the diversification of financial instruments is an inevitable trend in the development of financial markets. The introduction of stock index futures in China’s capital market is only a matter of time. Therefore, this article studies how institutional investors can use this financial instrument to carry out index arbitrage after the introduction of stock index futures. This article starts with the peculiar phenomenon that the Chinese stock market has no short mechanism, and proposes the strategy of index arbitrage in the Chinese stock market.