China's Small-cap Stock Index Futures, The Underlying Index Choice

? China Financial Future Exchange launched its first Stock Index Futures - CSI 300 Index Futures in April 2010, and achieved great success. Because of the high risk and the high volatility of small cap stock, in order to improve the risk hedging system, it's important to launch small board index futures, which can provide an instrument for the small cap stock investors.This paper firstly proves the theoretical price of stock index futures formula, using the Black-Scholes Model and the Feynman-Kac Theory. Then divide the stock into three stages: the rising stage, the fall stage and the shock stage. Next make an empirical test to choose which one is better, using the traditional OLS model, ECM model and a more effective Copula-ECM-GARCH (1,1) model. Considering the representation, mobility, resistance to handling, ease of arbitrage, complement of the underlying index, we choose zhongxiaoban 300 index as the best one.