Research On Market Operation Of Stock Index Futures In China

Stock index futures has been improved and advanced since it was created in 1982. It became the most active product of financial derivatives in international capital market. At the same time, stock index futures also has became a mature risk management of international capital market. Until now, almost 150 kinds of stock index futures have been applied in about 40 countries and regions.There is much successful experience in the development of foreign stock index futures that we can make use of. In the choice of underlying index, the rules of choice of index have been put forward. That is to say, we should make a point of the efficiency of hedging and cost, representation of arbitrage, avoid of market manipulation, index accurate calculation, seasonable publication and acknowledgement of market. At the same time, the means of least variance model was been applied to select underlying index of stock index futures. In the aspect of contract's design, its include the determination of contract value, minimum fluctuation of price, last settlement price and margin level etc. In risk management of stock index futures, the means of price's stabilization, the ways of avoid of market manipulation, the clearing member and market margin system and so on have been put in operation.With China entry into WTO and deepening of financial market's freedom, many opportunities as well as market risks have been brought to financial market in our country. Therefore, it is necessary that we should take advantage of financial futures to avoid relevant risks. However, due to the imperfect conditions of the transaction of interest rate and foreign currency futures, stock index futures will be applied with a good opportunity. With the development of capital market in China during the past over 10 years, it reaches to a large scale, active market trading and high liquidity, so we have good market conditions. Security company, investment fund, assurance annuity fund and other institutional investors have been increasing with the development of capital market. At the same time, the systematic risk of security market in China is higher than some developed countries such as America, England, Japan, and frequent fluctuation of stock index, Thus security market need stock index futures to evade risks. Viewed from the basis of system and technology, our country has set up an unite regulatory system. The laws have been come into force perfectly. Strict trade, clear and risk control institution have been established in futures market in our country. Futures exchange has advanced trade, clear system and scientific management institution. These also ensurethe transaction of stock index futures in China.As to the model of stock index futures in China, regulatory system can adopt the model of China Securities Regulatory Commission-China Futures Association-Future Exchange. Comprehensive, brokerage, self-trade member can become the clearing member of stock index futures exchange, which has its clearing house. Institutional investors are the majority in stock index futures market. The transaction of stock index futures should adopt electronic exchange in futures exchange.The transaction of stock index futures will expand scale and add liquidity of security market. At the same time, it also will improve structure and change though of investors. Although the conditions of the transaction of stock index futures have almost mature, stock index of our security market can not applied to underlying index, Research on the Shanghai and the Shenzhen composite index, Shanghai 30 index and the Shenzhen sub-index, we can find many defects if they apply underlying index. As the same result of Shanghai Futures Exchange's research, which adopted least variance model.For market operating design, on the base of experiences of foreign stock index futures, we design contents of our stock index futures contract. Contract value should be designed 100 thousand yuan. According to the underlying index, we can definite the multiplier. We can think the points of...