The Risks Of Index Futures Hedge Fund And The Impact On The Stock Market

On April 16,2010,an important tool for investors to speculate was invented,the Shanghai and Shenzhen 300 Stock Index Futures officially launched in China,More than 4 years has passed,the Stock Index Futures has brought enormous benefits for the capital market in China.The impacts on the capital market can be divided into two parts:Firstly at the microscopic level,influence of Stock Index Futures on the portfolio risks,At the present stage,Index Futures Hedge Fund in China is using the Stock Index Futures as the main investment object in the investment portfolio of Sunshine Private Fund,the introduction of the short mechanism is improving the diversity of investment portfolio and leverage ratio,incresing the investment opportunities,having opportunities of getting higher risk-return.Secondly at the macroscopic level,the impact of Stock Index Futures on the stock market.Normally,Stock Index Futures can reduce the volatility of the stock market,enhancing the liquidity,but the different sample interval and the market environment will lead to different results.This paper analyzes the impact of Stock Index Futures on the stock market and investment portfolio,it is a combination of micro and macro analysis,conducting a comprehensive analysis on the impact of Stock Index Futures Hedge Fund on the capital market in China and finally we will offer relevant policy suggestions.The guidance can not only giving the market regulators a chance to change the policy for quicker maturity of the capital marcket,but also giving institutional,individual investors some guidance and advice when investing on finanicial products based on the Stock Index Futures.At the microscopic level,this paper applies CAPM and FF3 Model to conduct empirical researches about the risk-return of Sunshine Private Fund investment strategies which are 'based on Stock Index Futures;At the macroscopic level,this paper applies ARCH model to study the volatility and liquidity impact of Index Futures Hedge Fund in the stock market.Through the empirical studies,we find that:(1)Two new Private Sunshine Fund investment strategies based on Stock Index Futures had the outstanding performance,relative value strategy significantly outperformed other Sunshine Private Fund,mutual funds and the Shanghai and Shenzhen 300 Index,it has "properties of low risk and high profit";(2)The Shanghai and Shenzhen 300 Index Futures and the Hang Seng Index Futures had reduced the volatility of the stock market,while the A50 Index Furtures did not play a role to stabilize the Volatility of stock martet;(3)The Shanghai and Shenzhen 300 Stock Index Futures have enhanced the liquidity of the stock market and non-constituent market,improving the liquidity of whole market.According to the empirical results above,this paper puts forward six suggestions on the development of Stock Index Futures Hedge Fund in China,the first point is to develop new investment strategies of Sunshine Private Fund based on Stock Index Futures;The second point is to prevent the risks and strengthen the ability of risk management;The third point is to improve the system of the disclosure and information publishment;The fourth point is to improve the structure system of the capital market in China;The fifth point is to strengthen the supervision of legislation;the sixth point is to speed up the financial innovation and promote the diversification of the products.