Stock Index Futures Research

Stock index futures, is a new financial future instruments transaction based on stock price. It is the most important and successful financial derivatives in the wave of financial innovation in 1980s, also it is the youngest and most developed financial derivatives. Stock index futures are playing more and more important role in the international capital market as a risk management instrument.In China, with the development of the size of stock market and its rising role in social and economic activities, the demand for applying stock index futures to do arbitrage is larger and larger, however, after China's accession to WTO, china's capital market will be more and more open, introduction of stock index futures become very urgent. However, "March 27th" government bonds issue and its bad effects still confuse the policy makers and market participants. This paper analyzed the system environment of building stock index futures, complete legal system and sophisticated supervising system, and argues that for the functions of short sales mechanism is neutral, it will not affect the normal operation of stock index futures markets, also it will not cause future index deviating from stock index. When the investors hold a large amount of stock positions, sales mechanism will not impact arbitrage, and its impacts on the stock index futures transaction is very limited; however, market-making system aims to promote the liquidity in the securities or future contracts. If speculations in the market have provided enough liquidity, this prerequisite would be ready for its fulfilling functions, thus, it is not urgent to introduce market-making system. It is very wise to introduce stock index futures transactions appropriately depending upon on the reasonable contract design and establishing prudent risk supervising system.