A Study On Impact Of Costs On Stock Index Futures

Stock index futures is one of most important and successful financial innovation products created in 1980s.As neccesary part of capital market,stock index futures has functions of price discovering and avoiding system risk in stock market.With the stock index futures exchange increasing,it has played a significant role in international capital market,and even become the first choice for some developing countries in financial derivatives transactions.On the background of increasing competition in global capital market and coming openness in China's capital market,it is necessary and timely to launch the stock index futures exchange in order to ensure healthy development of China stock market.We believe,once stock index futures is introduced,it will improve function and mechanism in capital market and enrich investors' tools as well as promote development of stock market.Study in stock index futures as core of financial engineering in western countries has made great progress,but in China it has just begun.Currently,the research in stock index futures mainly focused on pricing,price discovery,arbitrage,hedging and so on.Recalling previous research,we find that relative research often ignored or failed to recognize the existence of costs in reality.However,various costs in capital market profoundly affect each participant,so its impact cannot be underestimated.Coase,a winner of Nobel Prize for Economics,successfully explained why a enterprize exist from the perspective of transaction costs,as a result,causing public re-understanding on costs.So,we are inspired to do some research on impact of cost on stock index futures market.In this thesis,three major works are done.Firstly,the concept of transaction cost in stock index futures will be modified and we try to give pricing model of stock index futures considering various costs;Secondly,considering costs,the problem of hedging will be rethinked;Finally,through mathematical models and empirical analysis we will discuss the cost impact on trading volume and volatility in stock index futures market.