Stock Index Futures Market Short Selling Research

In 2008, the Stock Index Future (SIF) and the short sale will launch in China. They will have a great meaning for the security market. The government has fully prepared for the SIF, it will launch in the late of 2008, but there is no schedule of the short sale. People have little knowledge of their relationship. In this article, we try to analyze the connection of them through the means of comparative analysis and empirical research, in order to put forward some proposals.From the empirical research, several conclusions have been drawn: 1.Establishing the short sale will decrease the chance of time present arbitrage and the profit space. 2. Establishing the short sale will decrease the chance of calendar spread arbitrage, but the profit space doesn't change apparently.From above we may come to a conclusion, the short sale may not be established before SIF, but it is a very important step for us to make it into reality in a short time. The stock market will not perform steadily without it.Moreover, we will analyze the successful mode of SIF and the short sale of several countries to find some experience for China.