Shanghai and Shenzhen 300 Stock Indexes The Shanghai and Shenzhen 300 Index compiled by China Securities Index Company was officially released on April 8, 2005. The Shanghai and Shenzhen 300 Index is based on 65438+February 3, 20041,and the benchmark date is 1000 points. The Shanghai and Shenzhen 300 Index takes 300 A-shares selected from Shanghai and Shenzhen stock markets as the research object, including Shanghai 179 and Shenzhen 12 1. The sample of the Shanghai and Shenzhen 300 Index covers about 60% of the market value of the Shanghai and Shenzhen markets, which has a good market representation. As a commodity.
Delivery method and final settlement price
Shanghai and Shenzhen 300 index futures are delivered in cash, and the settlement price is the arithmetic average price of all index points in the last two hours of the maturity date. Under special circumstances, the exchange also has the right to adjust the calculation method to prevent market manipulation risks more effectively. The method of determining the final settlement price can effectively ensure that the spot price of the stock index converges at the last trading moment. The reasons for adopting this method can be summarized as follows: firstly, this is the inherent requirement of the financial one-price rate. Secondly, it can prevent the long-term irrational deviation of spot price difference and effectively control irrational speculation and market manipulation. This is because once irrational speculation or market manipulation leads to irrational deviation of spot price difference of stock index, there will be an arbitrage disk of this price difference, and the final settlement price can ensure that this arbitrage disk can achieve arbitrage. This method of determining the final settlement price has the same significance for hedging.
Contract size and deposit level
Generally speaking, the margin level should be adapted to the historical maximum volatility of the stock index, and its proportion varies according to the risk of holding positions. Therefore, the margin ratio of arbitrage position in stock index futures should be the smallest, followed by hedging position and speculative position. However, from the current exposure draft, it can be found that the exchange has not made specific provisions on the margin of arbitrage and hedging positions, and it can only be understood that the 8% margin is applicable to all trading positions. Therefore, the author suggests that the exchange make other specific provisions on the margin of hedging and arbitrage positions.
According to relevant regulations, investors in stock index futures must trade through futures companies. In order to control risks, futures companies will charge a certain percentage of margin on the basis of 8% margin charged by the exchange, which will generally reach 12%. After a period of tentative trading, it is possible for futures companies to gradually reduce the margin collection ratio.
If the futures company collects the customer's deposit according to 12%, then trading 1 hand stock index futures needs a deposit of about 50,000 yuan. According to relevant statistics, the number of individual investor accounts with a capital scale of 654.38+10,000 yuan in China stock market accounts for less than 5% of the total. Therefore, it is estimated that there will not be too many small and medium-sized investors participating in stock index futures at the initial stage of listing, the market speculation share may be insufficient, and the institutional hedging market will or will lack enough counterparties, which may lead to market liquidity problems. Therefore, the author thinks that the contract multiplier of 300 is somewhat large, and 200 may be more appropriate.