The Risk Collocation, Conduction And Control Of Stock Index Futures

Stock Index Futures (SIF) is one of the derivatives of the stock market. It disperses and resolves certain degree of risk by reasonable distribution of the overall risk in the capital market, and to achieve the purpose of wealth redistribution and efficiency improvement. The key of the risk allocation is selection of subject index, reasonable index not only optimizing the risk-allocation of SIF market, but promoting its formation of the self inherent stability mechanism. The risk-collocation function of SIF for the whole stock market realized by vibration-reducing mechanism, balancing mechanism and sharing mechanism, and wealth will be redistribution between stock market and SIF market after choice of index-related product. The process of risk-allocation can be divided into two aspects between different wealth holders and different period. Investors diverted and converted the risk by using derivatives like SIF and the corresponding risk conduction mechanism. And SIF is helpful to improve the efficiency of the whole market and optimize the risk-collocation structure. At the same time the speed and quality of information conduction was proved by GARTH model, and effective quantification was made to investor sentiment by establishing SIF Investor Sentiment Index and we could control the risk of SIF by the theory of TRM. It has very important realistic meaning to promote the development of stock market by using SIF.