Will it cause a sharp drop in the market?
From the experience of overseas markets, the index futures in the United States, Japan, South Korea, India and other markets have a valuation premium six months to one year before their launch, but they fall back as the launch date of futures approaches, which has a certain impact on the market trend. But in the long run, stock index futures will not change the running trend and internal laws of the market itself, and will not change the motivation of shorting.
In fact, whether the stock index futures market will fall after its launch is closely related to the market conditions at the time of launch. If the index rises sharply and the market's adjustment pressure is accumulating, the futures price is likely to respond to all kinds of information before the spot market, falling first and then rising, which is determined by the convenience, high liquidity and short-selling mechanism of the futures market pricing mechanism. Therefore, when the securities market itself requires adjustment, stock index futures can reflect the trend of the securities market in advance, but for the market decline, stock index futures are the signal rather than the root cause.
When China's stock index futures are about to be launched, the allocation demand of Shanghai and Shenzhen 300 constituent stocks will make the market prices of these stocks rise. Because the combination of heavyweights is easier to cooperate with the hedging and asset allocation functions of index futures, institutional investors can have more initiative in spot and futures operations by allocating more heavyweights. Because of this, the reduction of heavyweights by institutions after the introduction of stock index futures and the resulting decline in the index also belong to normal market behavior and do not change the inherent trend of the index. As long as the Shanghai and Shenzhen 300 index is not at a very significant high level after the introduction of stock index futures, the probability of a sharp decline in the index is not great, and in the long run, the introduction of stock index futures will help the market run smoothly.
Will there be market manipulation?
Financial turmoil in Southeast Asia and other stock market risk events have led some people to associate stock index futures with stock market disasters, and believe that market manipulation with stock index futures is the root cause of disasters. In fact, although the introduction of financial derivatives will increase the complexity of the market and the difficulty of supervision, the root cause of the stock market crash is that there are serious hidden dangers in the domestic economy of some countries, which eventually leads to the bursting of the bubble. The futures market only acts as a tool for price discovery and bubble bursting.
Of course, due to the linkage effect between stock index futures and spot market, it is indeed possible to obtain excess profits in the futures market by manipulating some heavyweights in theory, but whether the market will be manipulated depends on several important factors: first, the anti-manipulation of the underlying index, including scale, liquidity, dispersion of weights and index calculation method; Second, the structural and behavioral characteristics of various market participants; The third is the strength and efficiency of market supervision.
Judging from the situation in China, firstly, the Shanghai and Shenzhen 300 Index has high market coverage and scattered weights, and the leverage ratio of heavyweights is lower than that of Hang Seng Index and KOSPI200, and lower than that of S&: P500 and DAX30, which are close to each other and have good anti-manipulation ability; Secondly, according to the current policy arrangement, among the institutional investors who participate in stock index futures, the self-operated and entrusted asset management of funds and securities firms will mainly focus on hedging, arbitrage and asset allocation, and the scale of participation is limited, and the amount of funds QFII participates in the initial stage is also limited. Other institutions, including private placement, will bear great market risks and policy risks if they intentionally manipulate the market. In addition, the current trading rules and risk control system have fully considered the need to prevent market manipulation. Of course, in order to prevent market manipulation more effectively, we must gradually establish a cross-market supervision mechanism and further improve the supervision level.