Abstract: Stock index futures as the innovative financial derivative instrument provide a place to avoid systemic risk in the stock market.In spite of increasing the liquidity and the incentive effects of the stock market, stock index futures bring huge risks to a country's financial market as well including the general risks of a financial derivative, unique risks with its own characteristics and other risks produces particularly in our country's current economic condition. Upon the analysis of these risks, this paper offers some suggestions on risk aversion for the government and investors in stock index futures.