Based on the evaluation of the four main stock indexes which exist in China's Mainland,the authors compile the new indexes and make an empirical analysis of the selection of an index for stock index futures.
It is the first time for the authors to measure the systematic risk of both A share market and each industry of China’s stock market from the year 1994 to 2001 by using all A shares.The authors also analyze the main causes of the systematic risk of Chian’s stock market.
The paper deduces Stock Index Futures Pricing Models respectively under the ideal circumstance and under the restrictive circumstance and makes an empirical study on the pricing efficiency of HIS index futures.
