May 6, 20 10 is a depressing "black Thursday" on Wall Street, and the whole world once again turns its surprised eyes to the United States.
On Thursday night, the U.S. stock market experienced stormy waves. The Dow Jones Industrial Average, the weather vane of the global stock market, plunged nearly 1 1,000 points in intraday trading, with an unprecedented magnitude, and its lethality was comparable to that of a magnitude 9 earthquake.
But before that, there was not much bad news in the market. What happened to the American stock market? This question can't even be answered by Americans themselves. It is reported that the US Securities and Exchange Commission and the Commodity Futures Trading Commission have begun to investigate the abnormal transactions that caused the US stock market to plummet on Thursday.
The Dow Jones index plunged nearly 1000 points in intraday trading.
On Thursday, there was not much economic data worth paying attention to in the US market, except for the number of initial jobless claims and the number of renewed jobless claims announced last week. Moreover, the data shows that the number of initial jobless claims in the United States decreased by 7,000 last week, which was better than expected. The data also fell for the third consecutive week, indicating that the labor market is slowly recovering. At the same time, the number of people applying for unemployment benefits is also decreasing.
Although the employment data was better than expected, the Dow opened slightly lower by nearly 6 points that day. However, with the lower prices of peripheral crude oil and metal futures, the intraday decline of the Dow has gradually expanded to around 3%, which has fallen below the 60-day moving average that has been stuck for nearly two months.
At 2 am Beijing time on the 7th, the stock market was close to the end of trading. According to foreign media reports, traders are watching the riots in Athens, Greece on TV. They never expected that the next more incredible thing would happen to them.
At 2: 29 a.m. Beijing time, the Dow began to perform a once-in-a-century diving-once plunged 998.50 points to 9869.62 points, setting an intraday decline record. Then it began to rebound, closing down 347.8 points to 10520.32 points, down 3.2%, the biggest drop in more than a year.
Two other major US stock indexes were also affected. The S&P 500 index plunged 3.24% to close at 1 128.05. The Nasdaq Composite Index fell 3.44%.
It is worth noting that the famous panic index (Panic Index) soared 32% to 32.8 on Thursday, the highest level since July last year. The index estimates the potential volatility of the market in the next 30 days through the option price of the S&P 500 index. When the financial tsunami swept the world in 2008, VIX remained at about 80 years old.
Caused by Citigroup traders' operational mistakes
According to many internal sources, this is a trading mistake of a Citigroup trader, which makes the whole situation worse.
According to foreign reports, a suspected Citigroup trader mistyped M (millions) as B (billions) when executing stock trading, which at least triggered a sharp decline in P&G Dow components and eventually triggered program trading.
The National Business Daily reporter observed that P&G's share price fell directly from 60 dollars to 39.37 dollars, and another company, 3M, also fell directly from 85 dollars to 72 dollars in intraday trading.
However, the data behind it shows that it is not reliable to say that traders' keystroke mistakes induce market diving. The total amount of Citigroup Emeney on that day was only $9 billion, which was far from $654.38+0.6 billion. Observers also believe that there should be more than one source of wrong transactions.
In a subsequent statement, Citigroup said that the company and other financial groups would devote themselves to investigating the real culprits who caused huge market fluctuations, but there was no evidence that Citigroup was involved in trading mistakes.
A person close to Citigroup said that the wrong Emini transaction came from the Chicago Mercantile Exchange (CME). However, CME subsequently issued a statement saying that it had not found any problems with its trading system. At the same time, NYSE and NASDAQ have also come forward to clean up. According to NYSE, no technical problems were found in the trading system during the crash.
The company doesn't know who caused the stock price to plummet, but a Procter & Gamble spokesman said, but what is certain is that this is definitely a programmatic transaction.
An anonymous employee from Procter & Gamble revealed that the company had checked the transaction and there was indeed a transaction below $30. It seems that there is something wrong with the system.
Dynamic hedging is the real killer.
Is it too far-fetched to infer the cause of the stock index crash from the operational mistakes of individual traders? There are signs that Thursday's unprecedented plunge in the Dow was not accidental.
Last Friday, a reporter from China Business Daily interviewed Xie Guozhong, a well-known independent economist. He said that the direct cause of Thursday's US stock market crash is believed to come from a derivative called dynamic hedging. Different from other derivatives, one of the design functions of this tool is to issue buy orders when the market rises; When the market falls, issue a selling order. As a result, when the market plummeted, many selling signals released by dynamic hedging amplified the decline of US stocks. This is the same reason that the Dow Jones index plunged 20% on 1987. As for the program transaction error, it can only be said that it is one of the possibilities.
According to public information, in June 1987 65438+ 10/9, US stocks suffered a Black Monday. On that day, the Dow fell by 508.32 points, or 22.6%, and the total market value evaporated by 500 billion yuan a day. Later investigation results show that many institutional trading companies use portfolio insurance to prevent losses caused by stock market decline. When the stock market crashed, these companies almost invariably adopted portfolio insurance, which eventually triggered a violent shock in the futures market and the stock market.
The strategy of portfolio insurance mentioned here is dynamic hedging, that is, constantly adjusting the hedging position to match the risk of the whole portfolio and make the total risk relatively fixed.
Some overseas analysts believe that it is high-frequency trading companies that stop trading and aggravate market volatility. Cummings, chairman of TradebotSystems, a large high-frequency trading company that accounts for about 5% of US stock trading volume, said that when the Dow fell by about 500 points, the company closed its computer trading department.
System.
Root cause: the deepening of the European debt crisis
As of Thursday's close, the Dow fell 1.8% last week and 4.4% this week respectively. It can be said that since the intraday high of 1 1257.93 on April 26th, the Dow has fallen into a quagmire.
If dynamic hedging or high-frequency trading stop loss is the catalyst for this plunge, what is the root of the problem?
On the 7th, Shen Nan, a senior analyst of changjiang securities (12.90, -0.40, -3.0 1%), explained to the reporter of National Business Daily that the plunge of US stocks should be viewed from two aspects. First of all, the sudden diving in the session should be a trading problem; Secondly, the U.S. stock market has been falling for two weeks in a row recently, which hides the market's concerns about the European debt crisis. The recent crazy fall of the euro is obviously accompanied by the deepening of risk aversion, and the accumulated short positions make the current market full of strong speculative flavor. At the same time, on Thursday, the mainstream European media broke the huge debt exposure of euro zone banks to Greece, Portugal and Spain, which also made people's concerns come true.
Shen Nan believes that although the European debt crisis shows signs of deepening, it has little impact on the US economy. At present, the risk exposure of American banks to European countries is less than 10% of the total exposure. However, if the European debt crisis turns into a currency crisis in the future, it is expected that US exports to Europe will be affected in the second half of the year.
Xie Guozhong also believes that the biggest risk now is in Europe, that is, the Greek default does not pay back the money. As for the United States, its real economy is still recovering. It is estimated that the U.S. stock market will remain volatile until the European Central Bank comes up with a rescue plan. From the P/B ratio analysis of the Standard & Poor's 500, it also shows that the market is far from the moment of real panic.
Wang, chief analyst of Gaosaier Research Center, also pointed out to the reporter of National Business Daily that the plunge of US stocks on Thursday was far from being explained by trading mistakes, and it was probably caused by the joint selling of several investment banks. Specifically, there are two possibilities: first, many investment institutions deliberately sell, so that the stock index touches the stop loss level, which leads to violent market fluctuations, and at the same time, they buy derivatives such as futures contracts at a low level with high leverage and earn a lot of profits; Second, the institution noticed that after the yield of US 10-year treasury bonds dropped to 3.5% recently, the active shorting of derivatives such as stock index futures affected the spot trend. Because the rapid decline in the interest rate of 10-year treasury bonds implies a large amount of funds flowing from the stock market into the bond market, shorting stock index futures can only be achieved with a small volume.
(National Business Daily reporter Yang Kezhan)