In this thesis, I construct a general equilibrium model to express that the introduction of the index future trading will make the equilibrium of spot market change while the short selling is restricted and investors are of different opinions. When two futures are introduced into the market, the market is complete and is equivalent to the frictionless market. With the introduction of an index future, the market is still incomplete but the index future is no longer a redundant asset. The index future trading can make the asset prices changes and improve the social welfare. However, because the short-sales constraints are not fully eliminated, the future pricing by cost of carry model cannot represent equilibrium future price.