The Pricing Behavior Of Stock Index Futures And Empirical Study On Its Investmnet Portfolio Insurance Tacic

After the launch of stock index futures, how to use futures for funds as investment portfolio will be a significant academic subjects. Based on the analysis of stock index futures and the use of new insurance investment portfolio theory, this article research on how to use stock index futures for the investment portfolio in order to achieve capital preservation. In view of the upcoming stock index futures and the ongoing simulation index futures trade, this paper also does the research on price of stock index futures and point out the problems and countermeasures after applying stock index futures into investment portfolio insurance.The study results of this paper show that: (1) The difference of the stock index futures and commodity futures in the price behavior: stock index futures and index price exists the same trend, equally the integration relations, but commodity futures prices only have simple convergence. (2) In different markets, the use of different investment portfolio has different result. When choosing the strategy of investment portfolio insurance, it is particularly important to judge of the overall market. (3) In the bull market, selecting index investment or stock portfolio investment will get better income than choosing investment portfolio insurance in overall return rate.(4) In bear market and frequently fluctuating market, investment portfolio insurance strategy is much higher than the index investment in return rate, particularly TIPP is better than CIPP.(5) Capital preservation (CP ratio) and risk parameters are two important components of investment portfolio insurance theory. In different markets, it will achieve better investment results if having different options. For example, in frequently fluctuating the market, it will get better result if choosing a lower rate of capital preservation (CP ratio) and an appropriate risk parameters. In bear market, it can achieve better investment results to choose a higher level ofcapital preservation and lower risk parameters...