First, before the introduction of stock index futures, the underlying index constituents may have more opportunities than the non-underlying index constituents.
On the one hand, the hedging and asset allocation functions of index futures need the cooperation of the underlying index stocks. On the other hand, institutional investors can take more initiative in spot and futures operations by allocating more constituent stocks. Compared with the era of non-index futures, the intervention of incremental funds and the adjustment of portfolio allocation by stock funds will increase the investment in the underlying index stocks, and this adjustment and early strategic deployment may occur some time before the listing of index futures. Therefore, before the introduction of stock index futures, the underlying index constituent stocks may enjoy a higher premium.
At the same time, track the top 20 heavyweights in the Shanghai and Shenzhen 300 and combine them. Comparing the Shanghai and Shenzhen 300 Index, we find that the yield of heavyweights obviously exceeds that of the Shanghai and Shenzhen 300 Index (Figure 1). At the same time, it is found that the alpha of this combination is 1. 15, which is relatively high. However, the beta value of system risk is less than 0.924 (Figure 2), and the risk behind enjoying high stock selection ability is not high. Obviously, the premium of heavyweights is more obvious.
Second, after the introduction of stock index futures, the market performance of constituent stocks and non-constituent stocks of the underlying index is different in volume and price, but they may not enjoy a high premium.
Before the introduction of stock index futures, the constituent stocks of the underlying index will enjoy more premium than the non-constituent stocks, and the premium of the heavyweights is obvious, so we can't help but have such doubts. What about the constituent stocks and non-constituent stocks of the underlying index after the introduction of stock index futures? The results of empirical analysis show that after the listing of stock index futures, the market performance of the underlying index constituent stocks and non-constituent stocks is different in price and volume; Generally speaking, the difference between the two is more significant than before. The volatility of constituent stocks is higher than that of non-constituent stocks, and the average yield of constituent stocks is higher than that of non-constituent stocks. But with different degrees, the results of various studies are different.
However, the answer is uncertain whether each constituent stock will definitely enjoy a high premium again. According to the conclusion in The Influence of Stock Index Futures on Spot Market, stock index futures will not affect the long-term trend of spot. Then the rise and fall of constituent stocks also depends on the macro-economy, the industry in which the stocks are located, the company's operating performance and other factors, and it is impossible to simply draw the conclusion that otherwise there will be a high premium.