Study On Transaction Strategies Based On The Stock Index Futures Market

Under the background of the post financial crisis era and China's great efforts to build multi-level capital market, the introduction of stock index futures declared that earning without long position is possible. The stock index futures play the role of the media for the investors to obtain benefits and for the asset management companies to evade the risk as well as to seek new channel to gain profit. The selection and practice of transaction strategy become great importance. The analysis and research on the transaction strategy in the stock index futures market possess both the theoretical and practical significance.Based on the overall grasp of investigation concentration of the study depth, the thesis explores the new study approach on the basis of improvement and transplantation of the previous results by means of analyzing it. The thesis analyzes the formation, meaning, layout and characteristics of positive investment strategies from the perspective of investment strategy The emphasis will be given to the Alpha strategy and the hedging strategy because of composing strategy portfolio by short selling in the emerging Stock Index Futures Market. Then we will make a study and analysis on the two strategies by using the actual data and ways of Mathematics model. Lastly, reasonable proposal will be put forward for the external environment to ensue the smooth implementation of the strategy.In terms of the Alpha strategy analysis, firstly, we will select the shares from CSI300 index mark shares according to the weight. This basic sample composed by strategy portfolio is our research object. We will select the shares by paying equal emphasis to the weight and financial index. Then we will sort and make timely adjustments. Afterwards, we will lay out the complete Alpha strategy portfolio by way of futures and spot market portfolio on the basis of verification which the virtual combination we structured achieve better level of return. After the verification, the stability of this portfolio proves better and has ideal income level. The formation and verification of the strategy prove successful.In terms of the analysis on the hedging strategy, we will make a calculation to the system risk concerning the portfolio and select the appropriate shares in order to make a further study on strategy effect. We will fix two of the conditions included different risk portfolios, hedging duration and estimation method, to verify the hedge effect of the composed virtual portfolio under all situations. Then we verify the effectiveness of hedging strategy by get the result of different factor influence upon the hedging exerted by the system risk, hedging duration and estimation method.We apply the transaction strategy which is popular and advanced in overseas market to our newborn stock index futures market. The innovation of the thesis is that we select the shares in accordance with the CSI300 given weight and the indicators helpful. We adopt the more mature mathematical model and econometric model to help us to analyze. We will make an empirical analysis on the real effect and feasibility of the transaction strategy in the stock index futures market. The feasibility and applicability of the strategy in the real market is verified.