Judging from the market size and trading activity, the development of China's stock index futures market can be roughly divided into three stages, including the initial stage of listing to the boom period, the quiet period after the stock market crash and the policy adjustment period. During this period, the trading rules of the exchange have also changed, and the adjustment items are mainly in three aspects: the position margin ratio, the daily handling fee and the maximum opening amount on the non-hedging day.
The first stage: from the initial stage of listing to the period of prosperity and development (April 20 10-June 2065438+05).
From the listing of Shanghai and Shenzhen 300 stock index futures (IF) in April 20 10 to the stock market crash in 20 15, the scale of China's stock index futures market has been expanding. With the official listing of SSE 50 stock index futures (IH) and CSI 500 stock index futures (IC) on April 6th, 20 15, the position of China's stock index futures market reached its peak at the end of May, rising rapidly from about 30,000 lots of 20 1 1 to 350,000 lots (unilaterally), and the average daily turnover in that month exceeded.
Source: Wind, Service Department of COFCO Futures Agency.
Source: Wind, Service Department of COFCO Futures Agency.
Source: Wind, Service Department of COFCO Futures Agency.
With the development of stock index futures market, this emerging derivative has gradually become an important risk management tool used by institutional investors. According to the statistics of CICC, taking 20111510 as an example, institutional hedging, arbitrage and speculative trading accounted for 18.28%, 44.23% and 37.49% respectively, and positions accounted for 5.49% respectively. Institutional investors rationally use stock index futures to manage spot risk. When the stock market fell from 20 10 to 20 13 as a whole, the hedging effect was remarkable, and the cumulative loss was reduced by 172 billion yuan, which offset the loss of spot assets to some extent.
The second stage: the quiet period after the stock market crash (July 20 15-February 2065438+07).
On June 25th, 20 15, the Shanghai Composite Index ended its upward trend for nearly a year and suddenly turned down. By the end of August, it had dropped by more than 2,300 points from 5 178. At the same time, stock index futures have also been under great pressure, falling by half in two months and becoming an export of stock market risks. There are constant voices in the market, blaming the plunge on the short-selling system of stock index futures.
In order to limit excessive speculative trading in the market and increase the transaction cost in the market, CICC gradually increased the margin rate of IF, IH and IC contracts from 10% to 40%, and increased the liquidation fee from zero to 23/10000. At the same time, the number of speculative open positions in the day shall not exceed 10 lots, and the stock index futures market will completely cool down.
20 1 5,65438 On February 4th, Shanghai Stock Exchange, Shenzhen Stock Exchange and CICC officially issued the relevant regulations on index fuse, setting the fuse thresholds of 5% and 7%, which were formally implemented on February 20th, kloc-0/6 and1day. In just four trading days, two fuses were triggered, and the system intended to appease market sentiment aggravated irrational behavior. Starting from165438 on October 8, CICC announced that it would suspend the implementation of the stock index futures fuse system.
The restrictive measures introduced during the 20 15 stock crash have dealt a great blow to the development of China's stock index futures market. In 20 16 years, the average daily trading volume of stock index futures decreased from 1372 1000 lots in the previous year to 38,500 lots, with a decrease of 97 19%. The market activity reflected by the ratio of trading positions dropped sharply from more than 20 times of the highest point to less than 0.5 times, and the market shrank sharply. After the stock market crash, due to the rising transaction cost, the market liquidity is insufficient, and the market pessimism spreads. The stock index futures contracts are in a deep discount state for a long time, and the maximum discount range of each variety exceeds 10%.
Long-term negative basis is not only an unhealthy state of futures market, but also has a negative impact on the operation of other financial markets and financial products. For asset management products, stock index futures is an important systematic risk hedging tool. The forward discount of stock index futures will lead to a loss every time the futures position moves. Alpha strategy can not only hedge the systemic risk from the market, but also bear the additional impact cost brought by negative basis. This is undoubtedly a huge burden for institutional investors involved in hedging. During this period, the risk management function of the stock index futures market cannot be played normally.
Source: Wind, Service Department of COFCO Futures Agency.
Source: Wind, Service Department of COFCO Futures Agency.
From the listing of 20 10 stock index futures to the market silence after the 20 15 stock crash, China's stock index futures market experienced growth and setbacks, which played a very important role in our more comprehensive and objective understanding of stock index futures. On the one hand, the trading system of stock index futures, a new derivative, has been gradually improved, on the other hand, investors' prejudice against the short-selling system of stock index futures has also been corrected. With the stabilization of the A-share market and the recovery of investors' pessimism, CICC has gradually adjusted the stock index futures trading system since 20 17, and the market scale and activity have been restored. In today's financial globalization, the development of modern financial instruments, including stock index futures, is an important thrust to promote the healthy development and internationalization of China's financial market.