Research On Investment Strategy Of ETF After Launching Stock Index Futures

In recent years, ETF and stock index futures as represented by the derivatives has been fashionable in global financial markets, and will maintain strong development momentum over a period of time in the future. As a kind of index funds, ETF is on behalf of the spot index, which is the best choice for investors who expect to gain average market profit; and stock index futures is the expectation of market investors for the trend of spot index in the future which is a tool for them to avoid investment risks and adjust the asset allocation.Since the beginning of 2005, China's ETF transaction has gradually been recognized by the majority of market investors, and trading volume is growing fast. At the same time, the introduction of HS300 stock index futures is also in the countdown stage which will be traded when the time comes, and it will become the first variety of financial futures since the futures market in China has been rectified. In the current context of the global financial crisis, and in view the close relationship between ETF and stock index futures, the index futures which is going to be launched in the near future will inevitably impact on ETF investment strategy. Based on the problem, this article emphasizes on discussing the three investment strategy of ETF after launching stock index futures by using normative and empirical analysis, and makes some suggestions for the market investors and supervisors.First of all, the article simulates the investment strategy which stock index futures hedges on ETF by establishing a regression model, and discovers that the hedging strategy based on modern portfolio theory will mostly avoid the systemic risk in the market, through this strategy investors can not only lock in the cost of buying ETF, but also protect the profit of selling ETF; Secondly, the article introduces positive and reverse arbitrage investment strategy between stock index futures and ETF through the case analysis method, and gain a good result; Finally, the article finds that there is a cointegration and causal relationship between Hang Seng continuous index futures and ETF by using stability analysis, cointegration test and Granger causality test, and then proves that the price discovery function in stock index futures can be directly reflected in leading the price of ETF , furthermore, this article makes a forecast model based on the cointegration relationship between Hang Seng continuous index futures and ETF, forecast the range and direction of the daily closing price of Hang Seng index ETF, and the forecast result is good, so this forecast model can provide a reference for ETF investors in choosing the right investment opportunity and making a sound investment strategy, which is also the innovation of this article.