What will we lose without stock index futures?
On September 2, CICC announced that it would take four more measures to curb excessive speculation in stock index futures, including abnormal trading behavior of a single product and opening more than 10 lots in a single day, which constitutes "a large opening in one day"; The margin standard for non-hedging positions is raised to 40%, and the margin standard for hedging positions is raised to 20%; The daily liquidation fee is increased to 23/10000 of the liquidation amount; Strengthen the management of long-term untrammelled accounts in the stock index futures market.
To what extent is this shocking?
Although CICC has made three shots twice before, the news released on the eve of the Victory Day holiday still shocked the whole market. Market participants have said that "stock index futures have no trading value" and "the function of stock index futures has basically disappeared", and many articles have reviewed the topic of "commemorating stock index futures". Professionals generally believe that it is the recent constant bombardment of the futures index by experts, scholars and investors that has forced the regulatory authorities to have "self-harm" behavior. So how serious and shocking are these measures? Fund Jun makes a simple analysis here:
First of all, the restriction of "10 lot" is illegal after opening 10 lot, no matter how many orders you open every day or empty orders. On August 25, when CICC made its first shot, the number was "600 lots"; When the second shot was made on August 28, the number was "100 lots", which shows that the strength is unimaginable. It is also common for a stockholder to buy 10 lots of stocks every day, not to mention the futures market. This move makes programmatic and high-frequency trading basically bid farewell to stock index futures. For a slightly larger institution, except for hedging, the limit of the number of lots of 10 makes its trading in the futures index basically meaningless.
Secondly, 40% margin is extremely rare in the history of world futures. According to the closing price of 2965 points and 40% margin of Shanghai and Shenzhen 300 stock index futures, the primary margin is about 360,000, and the normal period is 10%. In the past, you could make 4 lots of money, but now you can only make 1 lot, and the cost of capital has increased fourfold. Those investors who have just reached the threshold of 500,000 accounts can only do 1 hand now. In addition, the hedging margin is increased to 20%, and the institutional hedging cost is also greatly increased.
3. Handling fee of 23/10000 for ordinary warehouse on that day. "Peace today" is commonly known as "T+0". It is roughly estimated that the handling fee of "T+0" is more than 2000 yuan! Even investors who only do one hand are afraid of such horrible handling fees. The handling fee is 0.23 ‰ before August 26th and 1. 15 after August 26th. You can understand the intensity of 23 ‰. One point of Shanghai and Shenzhen 300 stock index futures is 300, and investors must obtain the rights of eight index points before "T+0" can make money. Therefore, a sharp intraday decline is almost inevitable.
Fourth, if someone wants to avoid it by opening more accounts, then "strengthening the management of long-term untrammelled accounts in the stock index futures market" will also plug this loophole.
To sum up, I think readers have seen that even if you are only a qualified investor, you already feel that the futures index is "no good". The futures index after the market opens next Monday should no longer have to worry about "curbing speculation". In this sense, China's stock index futures, which ranked first in the world this year, have actually been "abolished". The next biggest possibility is that the futures index will gradually become a small variety with only sporadic transactions.
From a rational point of view, no exchange in the world can do such an incredible act of "self-harm". So, what kind of pressure forced the world's first variety show to come to such a situation?
The tragic "public opinion war" against the futures index
The plunge since June 15 has become a turning point in the fate of the futures index. Date 20 10 16 means that after five years of development, the Shanghai and Shenzhen 300 stock index futures have basically achieved a daily turnover of1000-2 million lots and a daily position of about 200,000 lots. The ratio of trading positions used to measure the maturity of futures index is also around 5: 1, which has gradually approached the mature market. However, the occurrence of the stock market crash has attracted overwhelming accusations against the futures index, among which Liu Shuwei, Ye Tan, Yi Xianrong and other non-industry experts have the loudest voices. Of course, many scholars, such as Ba Shusong, fought back, especially Ba Shusong's "Stock Index Futures, We Should Accuse It of Developing It Vigorously", which demonstrated that "the stock index futures market has always maintained its own long-short balance, and has not put pressure on the stock market, but accepted the pressure of stock market selling. According to statistics, from June 20 15 to July 3 1 5, the daily average net selling pressure of stock index futures was about 258,000 lots, and the contract face value was nearly 360 billion yuan, which was equivalent to reducing the selling pressure of 360 billion yuan in the spot market. " However, after the publication of this study, it was still attacked by netizens.
That is, from the end of June, due to the closure of the securities lending channel, a large number of stocks were suspended, and the "discount" of the futures index relative to the spot was significantly increased. The market accused the futures index of promoting the decline. As a result, the news that the futures index "restricted the opening of positions" continued to spread, and the outside world also regarded this as an action by the regulatory authorities to cope with the pressure of public opinion. Then, it is these unconventional measures that have caused some long-term and stable capital outflows of participating futures, and the positions have been greatly reduced, which has led to the deterioration of the proportion of futures trading positions, which provides evidence for the outside world to accuse the futures of "excessive speculation" to some extent. The further introduction of control measures has led to the further disappearance of the liquidity of the futures index and the further increase of the premium of the futures index, which has further aggravated the anger of non-professionals and regarded it as evidence of the "driving down" of the futures index. As a result, the futures market fell into a vicious circle, and finally "abandoned arms" to protect itself in an extremely tragic way.
No matter who is right or wrong in this huge debate, this scene will be recorded in the development history of China's capital market. The same event happened in the world's first and second largest economies, and became a classic of later research.
Let's look at Japan, the second largest economy in that year. After the Japanese stock market plunged in 1990, public opinion condemned stock index futures as the culprit, and some scholars even published books to demonstrate that stock index futures caused the stock market to fall. Under this pressure, Japan has implemented a series of measures to "abolish" stock index futures, such as raising margin, taxing and raising handling fees. However, as the Japanese stock market entered a bear market for more than 20 years, people gradually saw that the bursting of the bubble led to the collapse of the stock market. The dispute over futures index gradually faded after 1995, but the market of Japanese futures index has been occupied by Singapore.
In the United States, after the "August 7th stock market crash" broke out in 1987, generate strongly questioned the stock index futures, so that the US Treasury Secretary Brady issued the Brady report to condemn it, and the US investigation agency entered the futures company in the form of undercover investigation. With the deepening of the investigation, the congressional testimony of Federal Reserve Chairman Alan Greenspan and the completion of the independent investigation by Morton Miller, the Nobel laureate in economics, American stock index futures have not been suppressed like Japan, but have accelerated the pace of development.
From the historical experience, the development of stock index futures in various countries has experienced great hardships. Whether China's futures market can escape this robbery, like the collapse of Japanese futures market or the rebirth of American futures market, we might as well wait and see.
What will we lose without stock index futures?
Stock index futures is the abbreviation of stock price index futures, which refers to futures with stock price index as the subject matter. For example, the Shanghai and Shenzhen 300 stock index futures are futures varieties that are traded with the Shanghai and Shenzhen 300 index as the target. Investors quote different price indexes for trading according to their own expectations of the stock market trend. If they think the index will go up, they will buy stock index futures, otherwise they will sell them. The biggest function of stock index futures is that investors can use it to hedge.
If investors are optimistic about Gree Electric, want to hold dividend income for a long time, and at the same time don't want to be forced to stop and sell in the market decline, they can make corresponding stock index futures short orders, which is equivalent to buying an "insurance" for their own holdings, which is hedging. For him, the downside risk of the market has been transferred to the futures bulls. Obviously, people who hedge with futures index are actually bulls in nature, and their purpose is not to sell stocks. If institutions use futures index to hedge, it will also help them to hold shares for a long time and reduce their selling pressure in the stock market crash. This is also the theoretical basis of Ba Shusong's research.
Then, after the futures index is essentially "self-mutilation", what may be the consequences?
First of all, institutional investors who have lost their hedging "umbrella" will completely return to retail investors, and their wealth management capabilities will be greatly reduced. In the stock market, just like retail investors, chasing up and killing down, the next market fluctuation may further increase. China's newly developed hedge fund industry will also shrink sharply due to the loss of tools. Many strategies of fund accounts, brokerage asset management and wealth management products may have to be terminated. From then on, the income is definitely a passerby.
A private equity fund in Shanghai made an accurate judgment on the market in the first half of June, greatly reducing its positions, leaving only some promising high-quality stocks to hedge the futures index. Due to its precise operation, the fund escaped the initial plunge in June. However, due to the repeated "limited space" of stock index futures, institutions had to sell a lot of stocks in the plunge, which triggered a sharp withdrawal of the fund's net value, which actually put selling pressure on the market. As far as the whole market is concerned, there is more than one private placement facing such a situation.
Therefore, some insiders lament that without stock index futures, the entire wealth management industry will go back ten years and return to the era of "relying on the sky to eat".
Secondly, a market that has lost the "short selling mechanism" may become more emotional. From the perspective of mature markets, with the short-selling mechanism, market opinions can be better played and prices will become more real faster and more efficiently. This truth may sometimes be at the expense of bursting the bubble one step ahead of time, which may be unacceptable to the high-spirited public. However, after the "mismatch" of the futures index is eliminated, will the market usher in a more magnificent surge and plunge, and will it return to the huge fluctuating market environment from 998 to 6 124 and then back to 1664?
The third point, which is also very realistic, is that the futures index has no national boundaries. With the demise of China's stock index futures, China-related futures indexes in Singapore and the United States may develop rapidly. Singapore A50 stock index futures corresponding to the domestic market has become the primary substitute for domestic stock index futures. Recently, with the "continuous self-harm" of domestic stock index futures, Singapore has continuously promoted stock index futures to attract domestic investment to trade in the sea. Those who should do futures will continue to do futures, but the supervision is more difficult. However, it may be difficult for ordinary citizens to share this "transnational" hedging tool.