我国股指期货标的指数选择

Optimal Underlying Index Selection for China’s First Stock Index Future

本文根据股指期货标的指数选择的基本原则,从期货套利保值效果与成本、流动性、抗操纵性、风险收益特征及编制与管理方法等五个方面对我国最优股指期货标的指数选择进行了实证分析。结果表明,沪深300指数是我国首只股指期货最佳标的指数候选者。

According to basic principles of underlying index selection, we select 7 optional indexes for China stock index future, which were designed as the basis for derivatives. Empirical studies are carried out on this index through five dimensions： hedging efficiency and costs, liquidity, anti-manipulation, volatilities, compile and management. Analysis shows that Shanghai-Shenzhen 300 index is the best underlying index for China first stock index futures and option.