An Empirical Analysis Of Benchmark Index Of Chinese Stock Index Futures

Stock index futures has already been the most important derive instrument on the world financial market, since it was born in 1982.Many developed countries and some newly industrializing countries carry out stock index futures trading one after another to be on guard against systematic risk of stock market. Our country entered the WTO in November 2001 and tries to deepen the financial opening. Stock index futures become important part of scholars and competent department's research schedule as an escaping systematic risk for domestic investors.It provides effective risk management tools for the institutional investors, such as security firms, investment funds etc. It is an essential part of the international capital market. Meanwhile, nations compete fiercely on launching this product to gain financial center status. We will probably lose an important opportunity if we do not launch our country's index futures trading at the right time, particularly with the gradually opening of our capital market to outside of the world after our entering the WTO.Abroad scholars have made much thorough empirical research on the relation of stock index futures trading and spot market. Mainstream researching results show that stock index futures trading cannot increase floating of spot market and contributes to improving bond market, provide an effective instrument for avoiding risk. The stock index futures market's functions, such as discovering price and hedging, require an effective stock index system and a closely relation between stock index futures trading and spot market. After 14 years' development, our stock market's scale is very large and has formed an initial stock index system embracing comprehensive indexes and constituent indexes. But our stock index system is not perfect yet; one manifestation is that there is not a index which cannot reflect the change of our country's stock market.Employing the Minimum Variance Model, the issue analyzes the nine main indexes in Mainland China. The issue analyzes the nine indexes through following four aspects, effect and cost of hedging, reflecting the whole level of price really, avoiding market's control, calculating exactly and release timely and approved by market. Result show that none can meet four principles of benchmark index of stock index futures at the same time. So we must reform existing stock indexes or work out new indexes if we make stock index futures trading. So we must reform existing stock indexes or work out new indexes if we make stock index futures trading. That result also show that constituent indexes superior to comprehensive indexes in most aspects.At last, the issue approaches the necessity and feasibility of Chinese stock index futures to evidence the urgency of researching stock index futures. At last, the issue approaches the necessity and feasibility of Chinese stock index futures to evidence the urgency of research on stock index futures. However, empirical research on influence to our stock market and functions of stock index futures cannot be made before carry out stock index futures actually and much research can be made only at that time.