Research On Hedging Of Stock Index Futures And Design Its Financial Product In China

In the past year of 2008, China stock market had been undergone the most fluctuation in the history. Stock market A was declined to 70 percent last year, this tremendous system risk lead huge suffering to all of the investors, the desire of the short put option mechanism was very strongly. Stock index futures have the function of hedging and it can avoid system Risk effectively, and stock index futures will be available in China. Therefore, it has a strong significance for research on the stock index futures. Particular how to effective use index futures to hedge, has a strong practical significance with investors.Under this back ground, this thesis conducts a research revolving around the hedge and designs a financial product of index futures. The first part analyzes the hedge function and the other part design a HuShen 300 index futures financial product. Firstly, practical demonstrate the effect of HuShen 300 IF0903 for hedging in different times and make different results, conclude that stock index futures have a good hedge function in China stock market and achieve the international good standard .Secondly, design a HuShen 300 index future financial product and establish a mathematical model, practical calculate the financial product's period yield and annual yield. The results show that the financial products has high rate of return, has been able to achieve the 30% rate of return during the period, 87% of the annual rate, this is the innovation of this thesis. Finally, using the above results analyze the problem that will exit in our coming stock index futures market and establish a risk management system.The purpose of this thesis is that provide some idea for investors to utilize hedge function in stock market, and give some reference for design of financial product.