The Theoretical And Empirical Studies On Functions Of Stocks Index Futures

Stock index futures belong to the financial futures commodity, the subject matter of which are stock index. The list of stock index futures combines both the stock market and the futures market, thus providing a new investment and risk management tool for the investors. Generally, stock index futures have three functions, that is, price discovery, hedging and arbitrage. In this paper, the author will study the above three functions of stock index futures in theory and demonstration.Price discovery is the basis of hedging and arbitrage in stock index futures. In theory, futures price will not only reflect the price expectation in spot market, but will affect its current price. After studying on price discovery function of the South Korea KOSPI 200 stock index futures, we find that there is a bilateral Granger causality between the South Korea's stock index futures and spot market, and that futures price dominates the market in the process of price discovery. The reasons why futures market has price discovery function are that futures market is lower in exchange cost and it can make transactions providing its turn-in of part of guarantee pay, thus attracting a great many investors. Besides, the marketing scale of futures transaction is also an important reason for the price discovery function.Hedging is the core function in stock index futures. For the sake of elusion of market risks in stock investment portfolio, investors are able to make use of stock index futures to hedge the above risks. In practice, the calculation of hedging ratio is the key factor to assess hedging effect. In this paper, we take Hongkong H stock ETF fund as spot, and use Hengsheng Index futures to study hedging and make a comparison of static hedging model, dynamic hedging model and non-linear hedging model. The result shows that bivariate ECM model, BEEK model and Normal Copular model can make a good performance in hedging.The arbitrage function of stock index futures plays a very important role in improving market efficiency. We can make use of index arbitrage to increase fluidity between futures market and spot market, and it can also get rid of the difference between futures price and balanced price when imbalances are formed in the market. If the market lacks arbitrage transaction, the futures index price will greatly deviate from its expected price, thus making hedgers unable to elude risks by using index futures. This paper reflects the whole hedging process of HS300 stock index futures and ETF fund simulation transactions, and we find that there are many arbitrage opportunities in them, and that there are 5 risks investors have to prevent while using HS300 stock index futures to arbitrage.Finally, we conclude the whole paper and make a conclusion and come up with some suggestions and advice on the basis of analyzing the above conclusion.