A Research Into The Stimulated Trading Of HS300 Index Future And The Arbitrage Pricing Model

Stock Index Futures is a kind of financial derivative instruments which is traded as future contracts with stock market index as its underlying item. The invention of stock index futures is for the purpose of risk management, especially for the systematic risk management. Since the stock index futures contract was introduced by the Kansas City Board of Trade on February 24, 1982, this financial derivative has achieved great development in the coming decades all around the world.The stock market of China has developed to a very big scale during about 2 decade years since it was opened to public. But still the stock market of China doesn't provide a selling out function and contains very huge systematic risks, which are very harmful for the stabilization of stock market. Therefore, it is very important to introduce stock index futures trading to China's market. The Details of Rules of Financial Future Trading which was published by China Financial Future Exchange (CFFEX) in November 2007 indicated that the conditions for starting stock index futures were ripe. The trading of stock index futures could formally begin at any time that is considered right. Therefore, any research into stock index futures is very useful at this moment.This article started from the market function of stock index futures. Through theory analysis, this article stated the important role which stock index futures would play in an advanced financial market, and also in China financial market nowadays. Then this article discussed the Index-Future Arbitrage Pricing model, and the influence of real transaction cost on this model, and also the variable source of real transaction cost. Then this article introduced the stimulated trading of HS300 Index futures provided by CFFEX and used the Arbitrage model to analyze the data of daily transaction of stimulated trading from March 2008 to Feb 2009. In the end this article discussed the problems in stimulation transaction and gave some advices on stock index future management.The first part of this article stated the background of this topic, and summarized this article's mainly creative points.The second part summarized the mainly theory of stock index futures, and described the market function of stock index futures in details. Further more, this article also discussed how stock index future will work in China financial market and the necessity of the introduction of stock index futures. Also this article discussed aribrage pricing model in this part. The third part illustrated the stimulation trading of HS300 Index Futures provided by CFFEX, and used arbitrage model to analyze the transaction data of HS300 stimulation trading. The result indicated the similar conclusion to SP500 Index Future, only that the stimulation trading is much more variable than SP500.The fourth part was about the problems that have been observed in stimulation trading process and made a discussion about the reason of the problems. Finally, this article made some advices to the management and supervision of stock index futures market.