The method of selecting the constituent stocks of the Shanghai and Shenzhen 300 Index is to sort the average daily trading volume of the stocks in the sample space in the last year (since the listing of new shares), eliminate the last 50% of the stocks, and then sort the remaining stocks according to the daily average total market value, and select the top 300 stocks as the constituent stocks.
Adjustment of the constituent stocks of the Shanghai and Shenzhen 300 Index: The index is adjusted once every six months according to the principle of sample stability and dynamic tracking, and the number of adjustments each time shall not exceed 10%.
The Shanghai and Shenzhen 300 Index is calculated by Paige weighting method, and its calculation formula is:
Index of reporting period = adjusted market value of constituent stocks in reporting period/adjusted market value of constituent stocks on benchmark date × 1000.
Adjusted market value = ∑ (market price × adjusted share capital), in which the adjusted market value of constituent stocks on the base date is also called divisor. Adjust the amount of capital stock by grading. For example, if the proportion of tradable shares (circulating share capital/total share capital) of a stock is 7% and less than 10%, the circulating share capital is taken as the weight. The circulation ratio of a stock is 35%, which falls within the interval (30, 40), and the corresponding weighting ratio is 40%, so 40% of the total share capital is used as the weight. See the following table for the specific weight ratio:
Circulation rate (%)
≤ 10
( 10,20]
(20,30]
(30,40]
(40,50]
(50,60]
(60,70]
(70,80]
& gt80
Weighted proportion (%)
Cyclic ratio
20
30
40
50
60
70
80
100
Index revision: When the constituent stocks of the Shanghai and Shenzhen 300 Index change or the ownership structure changes, or the market value of the constituent stocks changes due to non-trading factors, the index needs to be revised to ensure the continuity of the index price. The correction method adopts "divisor correction method", that is, the new divisor is recalculated through a certain method, and the index price is calculated with the new divisor. The divisor correction formula is as follows:
Market value before correction/original divisor = corrected market value/new divisor
Where the corrected market value = the market value before correction+the new (reduced) market value.
2. Correlation between the Shanghai and Shenzhen 300 Index and the overall market.
As of June 5438+1October 65438+March 2006, the total market value of the Shanghai and Shenzhen 300 Index was 352192.7 million yuan, and the circulating market value was1.00231.01billion yuan.
According to statistics, according to the daily closing price, from June 4, 2005 to June 3, 2006, the correlation coefficient between the Shanghai and Shenzhen 300 Index and the Shanghai Composite Index was 0.9962, and the correlation coefficient between the Shanghai and Shenzhen Composite Index was 0.9942, indicating that the Shanghai and Shenzhen 300 Index had a high correlation with the market as a whole. According to the daily closing price, the correlation coefficient between Shanghai and Shenzhen 300 Index and Shanghai Composite Index is 0.9650 and 0.9748 respectively. From the point of view, the correlation of Shanghai and Shenzhen 300 Index is lower than that of Shenzhen Composite Index and Shanghai and Shenzhen 300 Index. The reason is that the Shanghai Composite Index is included in the index on the first day of listing, which leads to the index distortion, because the deviation between the fluctuation range and the average value of the Shanghai Composite Index is obviously greater than that of the Shenzhen Stock Exchange and the Shanghai-Shenzhen 300 Index.
3. Industry representativeness of Shanghai and Shenzhen 300 Index
As of 10 and 13, 2006, the top three industries with the largest number of constituent stocks were manufacturing, transportation and warehousing, electricity, gas and water production and supply, respectively, 156, 28 and 22, and manufacturing accounted for more than 50% of the 300 constituent stocks.
Judging from the industry weights of the constituent stocks in the index, the top three industries are manufacturing, finance and insurance, transportation and warehousing, accounting for 4 1.93%, 15.05% and 8. 16% respectively. Although the manufacturing industry has an absolute advantage in the number and weight of constituent stocks in the index, there are many sub-sectors of the manufacturing industry, and the operating environment and operating cycle are quite different, which makes its trend in the stock market very different. Therefore, from the perspective of the industry sector of the market, the plate effect of finance, insurance, transportation and warehousing is stronger. Considering that there are only nine constituent stocks of the financial and insurance industry in the Shanghai and Shenzhen 300 Index, the overall trend of the financial and insurance industry plays a decisive role in the index.
From the industry distribution of Shanghai and Shenzhen 300 Index, we can see that the proportion of manufacturing, transportation and warehousing is much higher than that of these industries in S&; P500 index, and the proportion of the tertiary industry is far less than that of S&; P500 index. This characteristic accurately reflects the industrial characteristics of China in the early stage of industrialization.
4. Financial characteristics of Shanghai and Shenzhen 300 Index
The constituent stocks of the Shanghai and Shenzhen 300 Index have good investment, and the valuation indexes such as P/E ratio and P/B ratio are obviously lower than the market average. The third quarterly report in 2006 shows that the profitability, asset quality and growth of the Shanghai and Shenzhen 300 Index are better than the market average. In the first eight months of 2006, the dividends of the constituent stocks of the Shanghai and Shenzhen 300 Index exceeded 80% of the total market dividends, which was significantly higher than the market share of the total market value of the Shanghai and Shenzhen 300 constituent stocks in the same period.
5. Common terms of stock index futures and relevant clauses of CSI 300.
Basis risk
Basis risk is a special risk of stock index futures relative to other financial derivatives (options, swaps, etc.). ).
Basis essentially reflects the time value of money, and should generally remain positive within a certain range (that is, the forward price is greater than the spot price). For example, the basis of S & P500 stock price index futures in the United States is generally 2 to 3 points.
However, in the huge market fluctuation, there may also be abnormal phenomena of basis inversion or even long-term inversion.
The abnormal change of basis shows that the price information in stock index futures trading has been completely distorted, which will produce huge trading risks.
Standard for large households to declare their positions
The standard for large households to declare their positions is closely matched with the position limit.
Once the positions held by participants reach the declared number stipulated by the exchange, they must declare to the exchange. The contents declared by large households include participants' account opening, transactions, sources of funds, trading motives, etc. For example, the Hong Kong Stock Exchange stipulates that each account of a participant must report if it has more than 500 long or short positions in any contract month.
The specific provisions of the Shanghai and Shenzhen 300 futures simulation trading for members and investors are as follows: the unilateral position limit of investors in a single contract month of the same variety is absolute, and the position limit of investors is 2500 lots. When the total positions in the contract market in a month exceed 200,000 lots (bilateral), the total positions of clearing members in the contract shall not exceed 25% of the total.
The Exchange implements the bulk declaration system for the Shanghai and Shenzhen 300 stock index futures. When the investor's position reaches the level (including the number) specified by the exchange, the investor shall report to the exchange through the settlement or trading members. The Exchange may formulate and adjust the reporting standards of positions according to market risks.
Final settlement price
Because the settlement price involves the interests of both parties to the contract, its determination method is very important.
There are two kinds in the world: American and European.
American style is determined by the special opening price on the second day after the last trading day, mainly to avoid excessive fluctuations caused by the triple settlement of spot, futures and options. However, the study found that the special opening quotation of the next day still fluctuated greatly. This method is mainly adopted by the United States, Singapore, China and Taiwan Province Province.
European style is determined by the average price of the last trading day for a period of time, and this method is adopted in Europe, China and Hongkong.
The final settlement price of the Shanghai and Shenzhen 300 stock index futures contract is the arithmetic average price of all index points in the last two hours of the Shanghai and Shenzhen 300 index on the maturity date, which belongs to the European method for determining the final settlement price. This is more scientific and can avoid artificially creating closing prices.
last trading day
The last trading day refers to the last day of trading of stock index futures contracts in the expiration month. After the closing of the last trading day, all open contracts must be delivered. The final settlement date of most contracts in the world is the end of the weekend or the expiration month, and the last trading day is often set on the working day before the final settlement date.
The design of the last trading day of the Shanghai-Shenzhen 300 contract is different from that of foreign countries. In the simulated trading, it is initially set on the third Friday of each month to avoid some special time points in the spot, such as the time point with strong holiday effect. Therefore, the last trading day of stock index futures contracts basically falls between 15 and 22 per month. The design of this clause is in line with China's national conditions.
Daily price fluctuation limit
The daily price fluctuation limit, also known as daily price limit or daily price fluctuation, is the maximum range of daily price fluctuation set by the exchange, that is, when the price fluctuation exceeds this limit, the transaction will stop immediately, thus stabilizing the market and protecting the interests of investors.
1before the global stock market crash in June, 1987, there was no daily price fluctuation limit for other stock index futures except FTSE 100 index futures. 1987 After the stock market crash, the daily price fluctuation limit was stipulated for stock index futures of most exchanges.
Limiting daily price fluctuation is a very sensitive issue, which directly affects the risk of stock index futures trading and its hedging function. Excessive range, not only the risk of futures contract trading is too large, but also the restriction effect is not obvious; If the range is too small, not only will it be difficult for investors to hedge, but the market will also be easy to stop trading frequently, undermining the consistency of the internal operation of the market.
In the simulated trading of Shanghai and Shenzhen 300, the daily price fluctuation is limited to plus or minus 10% of the previous trading day, and it will be automatically blown when it reaches 6%, and there is no fluctuation limit on the last trading day.
Minimum floating price
The minimum floating price refers to the minimum price change allowed in the transaction, and refers to the minimum price difference allowed between the buying price and the selling price in the transaction. The minimum fluctuation price can be expressed by both the number of points of the underlying index and a certain amount.
For example, the minimum fluctuation price of the financial times 100 futures contract is 0.5 index points, that is, 5 pounds (10× 0.5 = 5 pounds); The minimum change unit of the Hang Seng Index futures contract is 1 index point, HK$ 50.
The lowest fluctuation price of simulated trading of Shanghai and Shenzhen 300 stock index futures is 0. 1 index point, that is, 30 yuan RMB.
If the bid price changes more than the minimum fluctuation price, it must also be a multiple of the minimum fluctuation price.
The minimum floating price is also the minimum income of the participants.
Therefore, how to determine the minimum fluctuation price is related to the activity of participants and the depth of the market.
If the minimum fluctuation price is too small, it will reduce the attraction to speculators or increase the possibility of grabbing orders. Speculators will be reluctant to provide real-time trading because of reduced profits, which will affect the liquidity of the market and reduce the depth of the market. The minimum fluctuation price is too large to form a smooth supply and demand curve, which is not conducive to reflecting the real market trend.
Target index
The contract object of stock index futures is the stock index.
Indexed investment, that is, the index sample stock portfolio with weight as the allocation ratio.
The first domestic stock index futures contract is based on the Shanghai and Shenzhen 300 Index, which is a unified market index. Its total market value accounts for about 70% of the Shanghai and Shenzhen markets, and its circulating market value accounts for nearly 60% of the Shanghai and Shenzhen markets. With high market value coverage, strong representativeness and high market recognition, it is the most suitable index for stock index futures in Shenzhen and Shanghai markets.
settlement price
Another important difference between stock index futures and stock market is that stock index futures not only have closing price, but also have settlement price.
Settlement price is a system aimed at effectively reducing the risk of price manipulation in the futures market.
Regulations on Shanghai and Shenzhen 300 Index Futures:
The settlement price of the day is the weighted average price of the trading volume of the futures contract in the last hour. If there is no transaction in the last hour and the price is within the price limit, the stop-loss price shall be taken as the settlement price of the day. If there is no transaction in the last hour, and the price is not within the price limit, the weighted average price of the volume in the previous hour will be taken. If there is still no deal during this period, push it forward for another hour, and so on. If the trading time is less than one hour, the weighted average price of the whole period shall be taken.
The settlement price of the last trading day is the closing price of the futures contract, and the arithmetic average price of all index points in the last two hours of the spot index on the last trading day is adopted. Because the closing price of spot index is easy to be manipulated, in order to prevent manipulation, most stock index futures contracts in the international market adopt the average price for a period of time.
Contract month
Different from the stock market, investors can theoretically hold stocks indefinitely after buying them, while stock index futures contracts have a time limit.
The Shanghai and Shenzhen 300 index futures will be listed for four-month contracts at the same time, that is, the current month, the next month and the following two quarters and monthly contracts. If the month of the current month is July, then the contract of next month is August, and the contract of quarterly month is September and 65438+February. The last trading day of the contract is the third Friday of the expiration month. When the contract expires, all positions must be closed.
Circuit breaker mechanism
The fuse mechanism refers to setting a fuse price for the contract before it reaches the price limit, so that the contract trading quotation can only be traded within this price range for a period of time.
When the fluctuation reaches the fuse point specified by the exchange, the exchange will suspend trading for a period of time, then start normal trading and reset the next fuse point.
The fuse mechanism is a means adopted by the exchange to control risks when the stock index futures market fluctuates greatly.
The fuse price of Shanghai and Shenzhen 300 index futures contracts is 6% of the settlement price of the previous trading day. When the market price reaches 6% and lasts for 1 min, the fuse mechanism starts. In the following 10 minutes, the declared price of buying and selling can only be less than 6%, and the transaction will continue, and the declaration exceeding 6% will be rejected. After 10 minutes, the price limit will be enlarged to 10%.
The biggest risk in the futures market is that the market tends to show a one-way trend. Continuous daily limit or daily limit will make the losers have no chance to stop loss, which will bring great risks to the exchange and even the whole futures market. The adoption of the fuse mechanism can bring two opposing forces into the market to hedge risks: first, short-term speculators will have the idea of leaving their bags safe at this time, so some profitable positions will emerge at the position of 6% of the fuse price; In addition, some arbitrageurs will also consider entering the market. Because the futures price temporarily stops rising or falling after hitting the fuse price, but there is no 6% limit on the rise and fall of the spot index, it is possible that the rise and fall of the spot index is less than 6%, and the funds of arbitrage investors may enter the market and obtain arbitrage opportunities between spot and futures.
transaction cost
The expenses arising from buying and selling futures contracts are automatically deducted from the customer's account.
According to the published Shanghai and Shenzhen 300 stock index futures contracts, the transaction fee is undetermined.
According to the relevant regulations of the CSRC, the unilateral transaction fee charged by the Exchange to members in futures contracts is basically two ten thousandths of the contract face value, and the unilateral transaction procedure for each member is 654.38+ ten thousand face value 20 yuan/piece.
According to the usual practice, it is expected that exchange members will charge three ten thousandths of the handling fee to the holders of futures contracts, and the transaction cost of a contract is expected to be five ten thousandths of the transaction amount.
The standard of transaction settlement fee for simulated trading of Shanghai and Shenzhen 300 index futures is 20 yuan/lot, but in the actual trading process, futures brokerage companies should charge a certain percentage of fees on the basis of the fees charged by the exchange. Assuming an additional charge of 10 yuan/hand, the handling fee actually paid by investors for a round trip is 60 yuan/hand. Compared with the lowest price range in 30 yuan, this charging standard is very high. Because the index only changes by more than 0.2 points, investors can make a profit by closing their positions, otherwise it will not be enough to pay the handling fee, which is very unfavorable for short-term investors to enter and exit, and is also unfavorable for improving market liquidity.
cash deposit
Margin is a part of funds that clearing institutions require traders to pay when purchasing contracts in order to prevent stock index futures traders from defaulting. According to different nature, it can be divided into initial margin and additional margin.
When the balance of the member's margin is lower than the minimum balance stipulated by the futures exchange, the futures exchange shall notify the member to add the margin in the manner and time stipulated in the articles of association of the futures exchange, and the member shall make up the margin on time; If it is not made up within the time limit, the futures exchange shall force the liquidation until the remaining margin reaches the prescribed minimum balance. The relevant expenses and losses arising from forced liquidation shall be borne by the members.
The margin will determine the leverage effect of stock index futures. If the margin level is too high, it will inhibit the trading volume of the market, while if the margin level is too low, it is likely to lead to excessive speculation and increase market risks.
At present, the margin level charged by the exchange designing the CSI 300 index futures is 8% of the contract value.
Assuming that the index of Shanghai and Shenzhen 300 is 1.350, then the deposit that investors need to pay when trading 1 stock index futures is1.350× 300× 0.8 = 32,400 yuan. If there is a loss, the customer needs to be prepared to add funds at any time to make up for the margin gap caused by the loss.
In order to understand the characteristics of stock index futures more intuitively, we assume that an investor has 654.38+ten thousand yuan of funds and buys 654.38+0 stock index futures contracts at the price of 654.38+0.350 points. At this point, investors need to pay a deposit of 32.400 yuan. If the Shanghai and Shenzhen 300 Index falls by 120 points on the same day, and the customer loses 36,000 yuan on the first day, then the customer's book equity will remain 64,000 yuan. If it continues to fall by 120 points the next day, the customer's book equity will still be 28,000 yuan. At this time, the client's funds are insufficient to pay the margin, and the futures brokerage company will ask you to add the margin before the opening on the third day, otherwise you will take compulsory liquidation after the opening on the second day.
We assume that on the third day, the customer failed to add margin, but the stock index futures price soared 10 point after the opening, and the futures company forced to close the position at 1000 point. On the basis of 28,000 yuan, the customer's book equity loss10× 300 = 3,000 yuan, and the account equity decreased to 2,000 yuan. Judging from the decline of the index, the index only fell by 18.5%, but the capital rights and interests of customers fell by 76%, which is four times the decline of the index.
6. Minimum change unit
The minimum change unit (i.e. a scale) is usually expressed in points, and the monetary form of the minimum change unit can be obtained by multiplying the minimum change unit by the contract multiplier. The minimum change unit has an important influence on the activity of market transactions. If the change unit is too large, it may dampen the enthusiasm of investors. The principle of determining the minimum change unit is mainly to reduce the transaction cost while ensuring the market transaction activity.
The minimum change unit of Shanghai and Shenzhen 300 index futures is 0. 1 point. Calculated by 300 yuan per point, the lowest price change is equivalent to the 30 yuan of the contract value change.
7. The value of the Shanghai and Shenzhen 300 index futures contracts.
The contract value of CSI 300 index futures is the quotation point of CSI 300 index futures multiplied by the contract multiplier. The contract multiplier refers to the RMB amount corresponding to each index point. At present, the contract multiplier is tentatively set as 300 yuan/point. If the stock index futures were quoted at 1500 points at that time, then the contract value of the Shanghai and Shenzhen 300 index futures was 1500 points ×300 yuan/point = 450,000 yuan.
8, the Shanghai and Shenzhen 300 index futures margin
At present, the margin level charged by the exchange designing the CSI 300 index futures is 8% of the contract value. The ownership of the transaction shall be adjusted according to the market risk. According to this ratio, if the settlement price of Shanghai and Shenzhen 300 index futures is 1500 points, then the margin of each contract charged by the exchange on the next day is 1500 points ×300 yuan/point× 8% = 36,000 yuan. The trading margin paid by investors to members will float upward on the basis of the provisions of the exchange. If the Shanghai and Shenzhen 300 Index rises from 1.500 to 1.600, then the floating profit of 1.000 will be 30,000 yuan for long investors who are optimistic about the future and buy contracts; For short investors who are bearish on selling contracts, the floating loss at 100 is 30,000 yuan.
Formulate and adjust post reporting standards.
Final settlement price
Because the settlement price involves the interests of both parties to the contract, its determination method is very important.
There are two kinds in the world: American and European.
American style is determined by the special opening price on the second day after the last trading day, mainly to avoid excessive fluctuations caused by the triple settlement of spot, futures and options. However, the study found that the special opening quotation of the next day still fluctuated greatly. This method is mainly adopted by the United States, Singapore, China and Taiwan Province Province.
European style is determined by the average price of the last trading day for a period of time, and this method is adopted in Europe, China and Hongkong.
The final settlement price of the Shanghai and Shenzhen 300 stock index futures contract is the arithmetic average price of all index points in the last two hours of the Shanghai and Shenzhen 300 index on the maturity date, which belongs to the European method for determining the final settlement price. This is more scientific and can avoid artificially creating closing prices.
The design of the last trading day of the Shanghai-Shenzhen 300 contract is different from that of foreign countries. In the simulated trading, it is initially set on the third Friday of each month to avoid some special time points in the spot, such as the time point with strong holiday effect. Therefore, the last trading day of stock index futures contracts basically falls between 15 and 22 per month. The design of this clause is in line with China's national conditions.
Daily price fluctuation limit
The daily price fluctuation limit, also known as daily price limit or daily price fluctuation, is the maximum range of daily price fluctuation set by the exchange, that is, when the price fluctuation exceeds this limit, the transaction will stop immediately, thus stabilizing the market and protecting the interests of investors.
1before the global stock market crash in June, 1987, there was no daily price fluctuation limit for other stock index futures except FTSE 100 index futures. 1987 After the stock market crash, the daily price fluctuation limit was stipulated for stock index futures of most exchanges.
Limiting daily price fluctuation is a very sensitive issue, which directly affects the risk of stock index futures trading and its hedging function. Excessive range, not only the risk of futures contract trading is too large, but also the restriction effect is not obvious; If the range is too small, not only will it be difficult for investors to hedge, but the market will also be easy to stop trading frequently, undermining the consistency of the internal operation of the market.
In the simulated trading of Shanghai and Shenzhen 300, the daily price fluctuation is limited to plus or minus 10% of the previous trading day, and it will be automatically blown when it reaches 6%, and there is no fluctuation limit on the last trading day.
Minimum floating price
The minimum floating price refers to the minimum price change allowed in the transaction, and refers to the minimum price difference allowed between the buying price and the selling price in the transaction. The minimum fluctuation price can be expressed by both the number of points of the underlying index and a certain amount.
For example, the minimum fluctuation price of the financial times 100 futures contract is 0.5 index points, that is, 5 pounds (10× 0.5 = 5 pounds); The minimum change unit of the Hang Seng Index futures contract is 1 index point, HK$ 50.
The lowest fluctuation price of simulated trading of Shanghai and Shenzhen 300 stock index futures is 0. 1 index point, that is, 30 yuan RMB.
If the bid price changes more than the minimum fluctuation price, it must also be a multiple of the minimum fluctuation price.
The minimum floating price is also the minimum income of the participants.
Therefore, how to determine the minimum fluctuation price is related to the activity of participants and the depth of the market.
If the minimum fluctuation price is too small, it will reduce the attraction to speculators or increase the possibility of grabbing orders. Speculators will be reluctant to provide real-time trading because of reduced profits, which will affect the liquidity of the market and reduce the depth of the market. The minimum fluctuation price is too large to form a smooth supply and demand curve, which is not conducive to reflecting the real market trend.
Target index
The contract object of stock index futures is the stock index.
Indexed investment, that is, the index sample stock portfolio with weight as the allocation ratio.
The first stock index period in China adopted the average price for a period of time.
Contract month
Different from the stock market, investors can theoretically hold stocks indefinitely after buying them, while stock index futures contracts have a time limit.
The Shanghai and Shenzhen 300 index futures will be listed for four-month contracts at the same time, that is, the current month, the next month and the following two quarters and monthly contracts. If the month of the current month is July, then the contract of next month is August, and the contract of quarterly month is September and 65438+February. The last trading day of the contract is the third Friday of the expiration month. When the contract expires, all positions must be closed.