China’s Stock Index Futures The Underlying Index Selection And Contract Design Study

From the global major stock index futures market development point of view of historicalexperience, the diversified development of stock index futures market is mature and expand theroute one must take. The developed countries in the stock index futures market the first stockindex futures varieties, will be launched with complementary futures varieties, such as smalland medium-sized stock index futures, stock index futures, stock index futures type Mini optionproducts etc. Enrich and complete the futures contract product line is not only provides a varietyof tools to hedge, perfect the market pricing mechanism, but also the further optimization of thefutures market structure, promoting the stock index futures market to develop the depth ofeffective way. Either as perfecting the capital market of our country product line, or as a riskmanagement tool, the stock index futures of our country product in the asset management andrisk control of the function is no product can replace.On April16,2010, China launched the first futures products--the Shanghai and Shenzhen300index futures, marking China’s capital market has entered a new era of history. In the perfectbusiness rules and strict risk control system under the guidance of a smooth, orderly, healthy,run, was a huge success. In order to further improve the capital market of our country productline requirements, promote the futures market innovation, service economy transition. As soonas possible and the first products with complementary stock index futures varieties, to provideinvestors with enough product lines are used to hedge risk, in order to better meet the needs ofits diverse trading purposes, in order to attract more investors to enter the market, to create agood market liquidity.In this paper, according to the global futures market development, combined with China’sA share market characteristics, on the basis of marked index of stock index futures contractselection and design of the basic theory, to our country launched second marked index of stockindex futures and contract design has carried on the empirical analysis of.In this paper, using a combination of qualitative and quantitative research methods.Qualitative research, based on the international market the first stock index futures launched aseries of subsequent marked index of stock index futures contract design and selection wereintroduced the path analysis and present operation situation analysis, reasoning that the stock index futures the follow-up product design and development and the original product standardexponential relationship between, and the need to follow the general rules and requirements.Quantitative research, this paper carried out a large number of empirical work. With traditionalOLS model, ECM model and ECM-GARCH model is more reasonable and effective,alternatives to hedging effect of the underlying index empirical analysis; the historical volatilitymethod, the EWMA (moving average) method and GARCH model, on the margin ratios wereempirical test. In addition, using a variety of methods on the index representation, flowresistance, maneuverability, carry convenient, index of the complementary analysis.The main conclusion of this paper is: first, to improve our capital market risk hedgingmechanism, promote the capital market to service economy, service economy structuretransition and promote the futures market for product innovation and development, it isnecessary in the Shanghai and Shenzhen300index futures, launched in the small-cap stockindex futures. Two, through to the international market in the small marked index of stock indexfutures contract design and selection of comparative analysis, and found the most representativestock index futures products complementary is an important factor in the success of follow-upproducts; three, through to the domestic influential five small-cap index quantitative analysisand comprehensive evaluation, think small and medium-sized plate300index hedgingperformed best, suitable as in small-cap index futures spot target; four, proposed the small andmedium-sized board300index futures contract design, think that small and medium-sized board300index contracts on margin to15%is more appropriate, and to design a small plate300stockindex futures contract in the main clause.