The Development Path Of China Stock Index Futures And Investment Strategy Analysis

April16,2010, is a milestone day in China’s capital market, this day, China released the first stock index futures products--CSI300Stock Index Futures. CSI300Stock Index Futures market has runned more than one year, now the market runs smoothly, investors are enthusiasm, trading volume is arising.So far,it has become one of the most active contract all over the world, and the one only after KOSPI200index contract of Korea in Asia. This paper completely study the development of China’s stock index futures, and made some investment strategy analysis, the main research contents are as follows:Firstly, this paper studies from the early China capital market, completely study China stock index futures’s proposed,listed and development process. Stock index futures is a stock index derivative which has successfully runs for years in overseas stock markets,it is mainly used to manage risk, avoid risk, and used for asset allocation, its product is market’s needs, also is the process of market development process. China’s capital market starts from1990, that has been more than20years, it is very necessary to suit China’s stock index futures products timely, so, this paper starts from here, completely study China’s stock index futures market.Secondly, since the listed of stock index futures, what fluctuation the market will do? This paper combines the data of CSI300index futures simulation phase and the date of the CSI300stock index futures market after listed, uses GARCH cluster model which is usually used to study Stock market volatility, studies beginning and forward’s market fluctuation of the simulation phase and listed stage. The results show that the initial listing in the stock index futures, stock market fluctuates, then, the volatility of the market getting smaller and smaller, long-term future, with stock index futures function gradually reflected, it won’t effect the stock market’s fluctuation, on the contrary, it can play a stabilizing role of the market.Last, according to the actual situation of stock index futures market, this paper studies CSI300stock index future’three important investment strategy the Shanghai, and do an empirical analysis by the actual operating data of the market hedging strategies and arbitrage strategies. Meanwhile, investment strategies of individual investors and institutional investors are also analyzed in this paper in order to help different investors make better choices.