Stock Index Futures, The Subject Matter Of The Evaluation Model

There are two kinds of risk existing on the stock market, namely systemic risk and non-systemic risk. Non-systemic risk can be distracted by portfolio investment. But it must be relevant tools to avoid systemic risk. Thus stock index futures is just such a tool to avoid risk.And Chinese stock market has possessed considerable scale under conditions existing. Firms went public at Shanghai and Shenzhen stock exchanges have reached 1,215, gross value totaled 4.4 thousand billion Yuan, and funds came into the market have been more than 40 to the end of October,2002. And the opening funds and the entry of China into the WTO both expect to improve stock market. It is inevitable to develop stock index futures.The academic intention of this article is to build a set of model to estimate and elect the index fit for trading in Chinese futures.My job can be seen most from the following:First, the article investigates the development of foreign hedging theory and summarizes three hedging model. From the point of economics and statistics it discusses to calculate the best hedging volume using mathematical model under different goals.Second it investigates the least-variance model and discovers its limitation.Third it analyses the indices existing in the stock market. Finally it draws a conclusion that a united and special index is fit for futures trading.Fourth, the article use method of projecting to investigate the strategy of portfolio hedging. Then it limit the portfolio to one financial capital, namely stock index futures, thus it gains the index to estimate the efficiency of hedging.At last, an empirical study is conducted to analyze Xinhua index and Zhongxin index. The final conclusion is that Zhongxin index is more fit for the trading of stock index futures.