The Theory And Practice Of Stock Index Futures

Stock index futures are defined as a kind of financial futures contracts which is marked by stock indices. That is a standard contract to buy or sell a certain volume of stock indexes, according to the appointed price, at appointed time in the future. Stock index futures are known as financial derived tools. Their transactions are dependent on indexes, and adopt margin system, daily clearing,and cash settlement. There are two main functions in the transaction of stock index futures: discovering price and arbitrage.As far as China is concerned, the stock index futures market is helpful to reduce the system risk in the stock market, to stabilize the fluctuation of price, to enliven the stock market, to provide a tool for investors to speculate and arbitrage, to increase systematic investments, to establish rational ideas on investments, and to attract a great number of qualified organization investments. At the same time, stock index futures market will propel the internalization of capital market of China. The stock market of China has developed for ten years, and has formed the framework of modern security market. Now, it is the proper time for China to build stock index futures market.In this article, the pricing model of the stock index futures contract, concerning arithmetic mean, is F = ( S-D)·e^r(T-t). Another pricing model which takes the cost into consideration is .The arbitrage from stock index futures and stocks is the most frequently used arbitrage method. It is defined as the arbitrage which aims at the price gap between stock index futures and the stock portfolio.The traditional principal of arbitrage is aimed at the difference between...