Selection And Design Of Stock Index Futures, The Underlying Index

With the internationalization of the financial markets, the upgrading of the role of the institutional investors, and the speeding up of the financial instrument's innovation, the transaction of the stock price index futures(the abbreviation 'Index-Future' ) becomes more and more prosperous in the developed securities markets and the new emerging securities markets as well. At present, it's very meaningful and in great need in our country. The basis of Index-Future is the basic index, that is 'the contract's object', and establishing a scientific and reasonable basic index is the key to promote Index-Future successfully.On the basis of research on Index-Future's traits and functions and learning of the experience of establishing the object index, I proved and testified the characteristics of the object index in China. Firstly, I managed to select the sample stocks through the sequence of the listed companies in their negotiable market capitalization and trading amount, and I established 300 integrate index of SH and SZ markets, 100 integrate index of SH and SZ markets. Secondly, I made empirical research on the market characteristics of SH integrate index, SZ integrate index, SH 30 index, SZ ingredient index, together with the above two indexes. Thirdly, I testified the hedging results of those indexes with the method of minimum deviation model test theory.My research drew the conclusions as follows:1 Take the convenience of making investment portfolio into account, the quantityof Index-Future object selected should not be too large. While thinking about the index's representative demand and resisting manipulation, the proportion of the index's circulating value to the whole market should within 50%, so the samples quantity should not be too small, ard 300 is appropriate.2 The circulating shares should be the main part in establishing Index-Future objectindex. 3 The A-share integrate index can reflect the dynamic development of the share'smarket price, and it functions as the reference of Index-Future object index. 4 The object index should comply with the A-share integrate index properly, andholds relatively low hedging costs and better representative meaning. 5 With the empirical analysis, 300 integrate index of SH and SZ markets, as theobject index of Index-Future, is better than other types of index. 6 It is reasonable to take the new issuing share into the index after it has beencirculated for half a year.