Research On The Investment Issue Of Stock Index Futures

China's financial market will be introduced Stock Index Futures in the near future. How to use Stock Index Futures in investment is a hot topic for investors. Based on absorbing and taking advantage of research productions in abroad, this paper focuses on four core issues in investment of stock index futures and discussed them deeply and systematically: the pricing issue, the hedging issue, the arbitrage & spread issue, the relationship between the spot price and futures price of stock index. Through the research of the four core issues, this paper discusses the general principle on investment of the stock index futures.The part of pricing issue discussed three pricing models of stock index futures(single interest model, compound interest model, continuous compound interest model). After compared the applicability of the three, my assessment conclusion was given here. This chapter also discussed the influence of trading cost and inferred an equation of no-arbitrage bund. At last, this part analyzed the reasons of price deviation from the equilibrium price and gives several advices for solving the problem.The part of hedging issue mainly discussed the hedge ratio of stock index futures. Using the different methods of variance andβcoefficient, it adequately analyzed and proved the risk-minimizing hedge ratio, and made three mock calculations using assumed cases in China's capital market. According to the Capital Asset Price Model (CAPM), this part set up a linear regression model with a single regressor and tested the developed countries'popular method ofβcoefficient in hedge ratio. A significant fault was observed on method ofβcoefficient of a classic text book. After thinking over, this part modified the fault equation successfully. At the last part of this chapter, according to the fact of little using ofβcoefficient in china, I advised"Forget the spot price, only use two series of data—futures price and portfolio price, one equation, one regression", which indicated an easy way to use the method ofβcoefficient in China.The part of arbitrage & spread issue mainly researched the risk-less arbitrage between spot market and futures market, intra-commodity spread and inter-commodity spread. This part analyzed the risk-less arbitrage opportunities in mock trading of CSI 300 stock index futures. In the same time, it also introduced inter-commodity spread strategy in different futures markets using a successful case. This part has lots of help in widening investors'outlook in index futures.In the part of relationship between index futures market and spot market, an important concept was given here: lead-lag relationship. This part theoretically explained the lead-lag relationship in details between stock index's spot market and futures market, and summarized experimental-studied conclusions about lead-lag relationship in most index futures markets all over the world. At last, this part discussed the significance of lead-lag relationship in practice using a case.