Risk Management And Quantitative Investment Strategies In Stock Index Futures Market

In recent years, the stock index futures have already developed into the important financial derivative of the global capital markets which provides an indispensable and hedging instrument for investors. China has launched the Shanghai and Shenzhen300stock index futures contracts on April16,2010which indicated the financial futures market of China entered into a new stage and was an historic milestone on the path to a market-driven economy.The stock index futures have the functions of price discovery, risk transferand asset allocation. Investors can transfer the expected risk from the stock market to the stock index futures market through stock index futures investment. The relationship between stock index futures and spot market has become one of the main issues which are most concerned in the financial markets. The reason is that futures contracts have the function of price discovery, and so provide forecasts and insights for the spot market; also contribute to better understanding of the trend investment of the stock index futures, hedging etc. The Stock index futures market is characterized by huge volatility, margin leverage trading. With the in-depth development of the stock index futures market, the correct understanding and risk management of stock index futures has become an important issue. In addition to hedging, the stock index futures can also be combined with other products in the capital market with flexible allocation so as to enhance the performance of the product, and greatly enrich the development of structured products.Therefore, this paper launches the research based on the above issues which use the real market data of Chinese CSI300futures for the situation of initial stage.The paper is divided into three parts:introduction, subjects (total of three) and the Summary and Outlook. The specific structure and content are as follows:The first chapter briefly describes the background and significance of this paper, and summarizes the relative literature review, structure and innovation. In the first part, the operational mechanism of Chinese stock index futures market is discussed. The second chapter points out that the Chinese stock index futures market is still in the the initial stage, and infers that the structural changes may exist between the stock index futures and the spot market. The direct evidence of the change point is the unusual changes of the the dynamic correlation between the two markets; Its Statistical evidence is provided by the residuals cointegration test method and Chow change point test method. Adopted the Granger causality test, we discover that the lead-lag relationship of the two markets has been changed between the Change-point. So we conclude that the price discovery mechanism of our Stock index futures market is not fully formed, and the market needed to be further developed. In the third chapter,3-regime Threshold autoregression model is used to study the nonlinear characteristics and the mean-reversion mechanism of the Chinese stock index futures market, and also a no-arbitrage interval which is different from the traditional no-arbitrage interval of the cost of carry model is derived. The estimated threshold reflects the present situation:the lack of short selling mechanism causes the reverse arbitrage costs are so high that the market can only achieve the status of self-correction by the forces of speculation.The second part mainly discusses the risk management of Chinese stock index futures market. Risk management is the eternal topic in the financial markets, and one of the basic and core issue is the definition and measurement of risk. In the fourth chapter, the common volatility models and the loss function evaluated models are introducted. The paper notes that there are over-fitting defects for the volatility modeling of the existing criterion. We firstly propose a new method based on the trade-off between goodness of fit and smoothness, and apply it to evaluate the volatility models of stock index futures market basis. The empirical results show that the new method effectively narrowed the choice among the models. In the fifth chapter, the threshold double autoregression model is used to analyse the stock index futures and the spot market, and estimated by the quasi-maximum likelihood method. The empirical results indicate that TDAR-VaR model is an effective estimation method of VaR which can capture the structural changes,"leverage effect" and other asymmetric and nonlinear phenomenon of the stock index futures market.The third part focuses on the application of stock index futures in the quantitative strategy and asset allocation. In the sixth chapter, we emphatically discuss how to build a stock portfolio which is the key issue of the spot-future arbitrage in the stock index futures market. By simulating, firstly we compare the performance of several representative models in different scenarios, and then take advantage of the SIS model to makes an empirical study based on the domestic stock index futures market data. In the seventh chapter, we investigate the application of stock index futures of overseas institutional investors, and combined with the guidance of the domestic securities investment fund which invest the stock index futures, consider the financial products innovation of stock index futures. Then we give some suggestion for asset allocation and product design of stock index futures.Finally, the eighth chapter summarizes the main content of this paper and gives some problems for further research.