Stock Index Futures Research And Arbitrage Analysis

Chinese stock market has possessed considerable scale under conditions existing, our stock market's scale has formed an initial stock index system embracing comprehensive indexes and constituent indexes. But our stock index system is not perfect yet; One manifestation is that there is not an index which can reflect the change of our country's stock market.However, China faces some restrictive factors to develop stock index futures, such as market limitation,law lacuna,lack of Short selling and so on; Besides, because of its special work style, it is the big source of huge risk. It is necessary to dothe work of economic analysis,institution innovation and risk analysis.The paper is divided into six parts:The first part is the introduction. It outlines the main research background and significance of the paper, and on the basis of the description and the evaluation of the status of the research. The methods of the research of the paper will be proposed.The second part is that it reviews the development of the financial futures market. Then, from the foreign successful experience, we should put the risk control on the first place in developing China's financial futures. At present, there are many restrictions in the development process of China's finance futures market. There are still limitations and prejudices to the futures market, and the social integrity is not high. The laws and regulations system and the supervising and managing system of the future market also cannot completely catch up the market development, and the technical barrier exists. It is the need and feasibility study to develop China's financial futures market, and it proposed the significance, feasibility and urgency of the establishment of China's financial futures markets.The third part is a summary of futures, financial futures and stock index futures. It introduces the basic knowledge of the concept of financial futures, the types of economic and financial futures, functional purpose, procedures and processes. And it introduces the concept of stock index futures. Hedging of stock index futures is the primary trading strategy.The fourth part makes the stock index futures price, discusses its tenable condition and establishes the actual no-arbitrage math model of stock index futures. China's financial market will be introduced Stock index futures in the near future. Based on absorbing and taking advantage of this area's research productions in abroad, the paper discusses the pricing issue of stock index futures, including the pricing model, no-arbitrage condition, risk-less arbitrage example, reasons of price difference, and the advice on solving the price difference.The fifth part studies the actual arbitrage of stock index futures.Finally, there is a conclusion of the major research for the paper, and it still needs to do some further research on some particular area in the future.