The Assessment Of Chinese Subsequent Underlying Indexes Of The Stock Index Futures

On September8th,2006, Chinese Financial Futures Exchange was formally established in shanghai, and in the next month, index futures simulation trading has been introduced, for which the CSI300Index is the underlying index. Since the advent of the CSI300Index, the research on the CSI300Index as the common indicators, in view of its excellent performance in the fundamentals, hedging effects and other aspects, the CSI300index futures was successfully listed on April25,2010, since then, a new chapter has been opened in Chinese financial futures market. Currently Variety of transactions in China’s financial futures market is limited to the CSI300index futures and bond futures which was listed on September6of2013. The listing of the CSI300index futures, particularly the introduction of the short mechanism, has a far-reaching impact on China’s capital markets and investors. Since the listing of the CSI300index futures, in view of the significance of China’s stock index futures as well as the reality of a single species stock index futures, then launching the disk index, small cap index in line meets the habit of thinking. However, the30years’practical experience of stock index futures of shows that complementary index futures contracts did not increase the volume of stock index futures contracts, stock index futures depend more on the success of visibility, representative of the underlying index and market demand.From the perspective of the fundamentals of index futures,with the CSI300Index as a reference,we choose CSI100Index, SSE50Index, SSE180Index, SSE100Index, as well as CITIC S&P300Index, CNINFO300Index and CSI200Index the eight subjects as a sample, then make a comprehensive evaluation of these indices from the representative of the market, anti-manipulation, profitability, growth and risk-benefit, in order to achieve the optimum of the underlying index. From this paper, CNINFO300Index is the optimal choice. We adopt the Fama-French three-factor model to analyze the existence of excess return of the optimal index. If the empirical results indicate the presence of excess returns, then we should judge whether the excess return of the index is derived from the risk-factor or unrisk factors. The results obtained by the three-factor model regression showed that excess return of CNINFO300Index is both from the risk-factor and unrisk factors. Then we think the index has its merits, but also can be one of the options of a stock index futures’subject matter.