中国股指期货合约乘数水平的研究

中国沪深500股指期货已经推出，其合约设计的合理与适用性则需要通过市场的实践来验证，在这其中，对合约乘数水平的检验至关重要，因为它与标的指数点住共同构成了合约的价值，进而直接影响到股指期货市场的稳定性。本文采用中国股指期贷合约推出后的真实交易数据、根据期货交易的一种风险控制理论“2N止损法”来测算投资者账户资产净值与头寸规模的绝对值，以此推导出现行合约乘数水平对投资者价格风险的影响程度，得出当前500元的合约乘数水平偏高的结论；并在此基础上，通过对中国股指期货市场的数据统计分析来检验以上结论，论证当前合约乘数水平的适用性，最后建议适当调整中国沪深500股指期货合约乘数的水平或尽快推出相应的小型合约。

Research on China's CSI Index futures contract multiplier Levels

China＇s CSI 300 stock index futures have been introduced, the design of its contract with the applicability of the reasonable practice is required to verify through the rnarket, and in this one, the level of the contract multiplier test is important because it is composed of the underlying index point and The value of the contract, thereby directly affect the stability of stock index futures market. This paper, the introduction of index futures contracts in China＇s real transaction data, according to a risk in futures trading control theory ＂ stop method of 2N ＂ to measure the reasonable ratio between settlement margin and trading position , the impact of price level is derived from the Contract multiplier that existing levels of risk to investors, , reached a contract multiplier of 300 yuan at present high levels of concIusions~ and on this basis, through China＇s stock index futures rnarket, trading volume, volatility and other positions, and statistical analysis to test these conclusions, demonstrate the applicability of the current contract multiplier level, and finally to recommend appropriate adjustments in China CSI 300 Index fuTures contract multiplier of the herizontal or as soon as possible the corresponding small-scale contracts, and proposed to adjust their thinking.