...12...12...13...18...18...24 MSCI...27 FTSE...29...33...36................................................... 1

...........................39...39...42...45...54............................................. 2

1...14...17...19...26...31...32...36......... 11 100... 12 13... 14... 15... 16.....................38...43...46...47...48...49.................................... 3

1... 17... 22... 27... 29... 30... 30... 8... 9 (1992-1997)... 10... 11... 12... 13... 14... 15... 16... 17... 18... 19........................ 27 100... 28 300... 29 300 2... 30 500...... 51... 52... 55... 55............ 4

Abstract The securities market in China is one of the most energetic markets in the world. Up to April 2000, there are more than 1200 kinds of securities in Shanghai and Shenzhen stock exchanges and the total market value is more than RMB 5 billion. Institutional investors are playing a more and more important role in the securities market. There are 11 mutual funds now, and they manage more than 30 common close-end funds, valued up to 100 million. Both the scholars and mutual fund managers agree that an index futures is needed to hedge the system risk of the stock portfolio. With the entry into the WTO, China will also open the capital market to the outside world. Transnational investors will need index futures in China as a tool to balance their investment portfolio. So it is necessary to design a perfect underlying index and contracts in China. This thesis intends to discuss what is perfect underlying index in the securities market of China and how to design correspondent index futures contracts. The thesis consists of three chapters: Chapter 1: indices and index futures. In this chapter, I mainly discussed stock prices and stock price indices, analyzing the possible warp in the different stock index algorithm. Depicting the development of the indices composed by the world famous index companies, I outlined the family of the world various indices and their developing trend. Chapter 2: selection over the target indices for the index futures in the securities market of China. In this chapter, I tried to construct an underlying stock index that is suitable as a target of the index futures under the special situation in the securities market of China. At the beginning of this chapter, I concluded that all extent stock indices in the present stock market of China are not suitable for an index futures transaction. So a new index that consists of stocks from both the Shanghai and 5

Abstract Shenzhen stock exchanges should be constructed. It is must be an index that can represent the whole fluctuation of the market and has the aspects of fine transactability, content stability and transparent rules. Then I analyzed the time selection for new stocks to be calculated into the index and the relationship between the index and reducing of state-owned shares. At the end, I constructed a series of indices that consist 100, 300 and 500 stocks separately according to their marketing values and volumes. Through the construction of the indices, it is appeared that a 300 index, stocks of which are selected by first sorting all the stocks according to their marketing values and then volumes, is the best one as a target for the index futures in the stock market of China. Chapter 3: devise of the index futures of China contract. The content of the index futures contract include: underlying index contract value, contract Multiplier, limit and settlement price. To choose the most suitable contract for the index futures transaction, I researched 76 index futures contracts all over the world. Then I selected 25 influencing index futures to focus on. At the end, I gave a model for the intended index futures contract. Key words Stock index, Index Funture, Contract Design 6

2001 4 1300 1 1992 3.2% 2000 50% 3000 34 1000 2 1 2.93 2.13 2 7

8 MSCI

Figlewski(1984) 100 300 500 300 300 76 25 50 10% (3,6,9,12 ) 9

Dow Jones S&P MSCI FTSE S&P 500 30 S&P 500 S&P 1200 30 300 10

11 3

(1) 2000 2001 (2). 4 4 Fama E.F.The Behavior of Stock Prices, Journal of Business 1965 January 12

13 ETFs

1 S&P500* NYSE Composite* Nikki 300* TOPIX* FT-SE100* Hang Seng * SMI* DAX* CAC40* * 1. AW AW = n i= 1 w i x i w i w = 1 n i= 1 i x i (Geometric weighted average (GW)) : GW = n w x i i i= 1 5 5 100 1000 S&P 10 NYSE 50 NYSE 50 14

15 6 2. 7 (1). equal weighted 10000 (2). (Price weighed), 1890 8 (3). (Cap weighted) 9 6 Stock Index Futures Theoies and international evidence Second Edition pp5-pp9 7 8 9 1999 8 1

, free float market capital 1998 713 10 11 1998 1 5 2001 4 3 1000 2 1996 2000 5 150% FOX NOKIA 46.3% EOE 10 11 100*( )/ 16

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