Research On The Economic Function Of Chinese Stock Index Futures

Stock index futures is a financial derivative, its object is stock price index. From the listing of the five years, the Shanghai and Shenzhen 300 stock index futures is relatively stable operation, strong liquidity, market maturity and continuously improve the efficiency, and its economic function is increasing. Stock index futures is not only effective to avoid the risk of China’s tools of hedgers new traders, but also new transaction standard varieties, his listed and contribute to the structure of China’s capital market to further improve the financial derivative products, at the same time to get rich species. However, our country’s stock index futures from up to now only in the last five years, compared with western developed countries financial market is still in the initial stage of development, there are still many problems, such as the function of economic efficiency is not high, index futures varieties of a single investor structure, the proportion of coordination and problem. The problem is that China’s financial development of the futures market barriers, thus solving the above problems to perfect China’s capital market structure, improve the efficiency of the economic function of stock index futures has positive effect.Two economic functions based on China’s stock index futures in the operation process of the main line, namely: the function of price discovery and risk transfer functions, from the perspective of empirical analysis has conducted the thorough research to the economic function of stock index futures in China, finds the current problems and shortcomings compared with developed markets, put forward relevant reasonable policies and suggestions, and make efforts to ensure the health of the stock index futures in China, efficient development.The model are used in the Shanghai and Shenzhen 300 stock index futures from the market has to December 31, 2014 days one minute high frequency data as the research object for empirical analysis. The reasons are as follows: firstly, the reason for high frequency data for a minute as the reason of study sample, index futures, stock index futures in China and western developed countries is still has many deficiencies, the price discovery function of the futures price is still relatively weak, leading the desired spot price time throwing is short, if used for a long period data for calculation conclusion the income out error will be greater, so using a minute book data empirical research result is more accurate, one of which is also the innovation point of this article. Secondly, the paper selected from the listed are analyzed by the end of 2014 data, contribute to the comprehensive and overall understanding of the dynamic changes of the price discovery function of stock index futures in china. Finally, the use of stock index futures listed on the main contract has nearly five years of days one minute high frequency data are in-depth study of the hedge ratio and dynamic hedging rate of static hedging, to the advantages and disadvantages of various hedging model to explain the possibility of accurate, make the error to a minimum.