A Study On The Design Of HS300 Stock Index Future Contract

The development of international economy has verified that the evolution of financial derivative products is not only very beneficial for the scale, efficiency, function, integrity, safety, fluidity, internationalization, product innovation, industry upgrade of one country's monetary and capital market, but also can help one country to improve the efficiency of social resource and social risk allocation, as well as the capability and attraction of participating in global resource allocation. In a word, under the background of economic monetization, securitization, globalization, the social-economic function of financial derivative market becomes more important than ever. Seeing that Chinese interest and exchange rate liberalization is still in its infancy, equity capital market becomes more mature after more than ten years development, and policies, market basis and requirement necessary for equity derivatives innovation are fully prepared, China Securities Regulatory Commission established China Financial Derivatives Exchange and named the first internal financial derivative product HS300 stock index future in September, 2006.Obviously, effective product design, with contract design as the key point, is preliminary for the success of stock index futures. This thesis analyzes the contact design of HS300 stock index with 11 chapters. Chapter 1 introduces study background, purpose and framework. Chapter 2 is the general plan for contract design, including contract structure and function analysis, investors' requirement and quality indicator based theory of constraints analysis, pricing theory of stock index futures analysis and the research route plan for contract design. As the main part of this thesis, Chapter 3 to 10 make an intensive study on eight key terms of stock index futures contact according to the unified framework described in Chapter 2, including contract multiplier, contract months, maturity, final settlement price, daily settlement price, margin, minimum tick size and price limit, as well as make an corresponding conclusion for contract design. Chapter 11 summarizes all above.Main research findings and innovations are as below: 1.This thesis gives a systematical review on theoretical and empirical literatures at home and abroad about contract design by terms for stock index futures. Meanwhile, it provides an empirical and comparative study on the terms in typical contracts existed in international stock index futures market.2. It gives a strict analysis for each contract term from the perspectives of different investors' requirement and market quality indicator constrains. And the paper establishes a logically complete empirical analysis system or modeling decision-making system, providing empirical testing analysis, data reasoning analysis or model testing analysis based on domestic stock market's main structure and trading structure. The empirical results not only support this thesis's conclusion, but also provide reference for stock index futures' design and post-marketing surveillance in the future.3.It put forward a complete set of scientific and perspective solutions for contract design for HS300 stock index future according to Chinese conditions, some of which have already been adopted by China Financial Futures Exchange (CFFEX).4.It initiates basic-margin measurement model in distance-based weighted moving average way, which has unambiguous economic significance and simple calculations. It has been proved that this model has great advantage in robustness, at the same time it doesn't enhance social cost obviously in term of efficiency aspects. Considering all, it's superior to all kinds of existed benchmark margin measurement model.5.It forms a set of strict and scientific research paradigms for equity derivatives'development, which is evolved along with theoretical review——internationalcomparative study——investors' structure and market evaluation objective basedtwo-dimension constrain principle analysis——empirical testing based on Chinesecapital market data—conclusion and provides reference for the design of other financial derivatives in the future.