The Shanghai and Shenzhen 300 Index selects 300 A-shares in Shanghai and Shenzhen stock markets as samples, including Shanghai 179 and Shenzhen 1. Sample selection criteria are large-scale and liquid stocks. The sample of the Shanghai and Shenzhen 300 Index covers about 60% of the market value of the Shanghai and Shenzhen markets. As a commodity, it has a good market representation.
Influence of the introduction of Shanghai and Shenzhen 300 index futures on the fund
The introduction of stock index futures may have a far-reaching impact on index funds and help improve the liquidity of index funds. When there are spot arbitrage opportunities in the market, the impact cost and replication error of buying and selling stocks are large, so index funds will become an effective way to replicate the underlying index.
At present, there are two lofs on the market, Jiashi 300 and Dacheng 300, which track the Shanghai and Shenzhen 300 index, and their liquidity is relatively low. There are also ETFs highly related to the CSI 300, which may become the first choice for spot arbitrage and greatly improve the liquidity of such funds.
Influence of Shanghai and Shenzhen 300 Index Futures on Stock Market
The correlation between the Shanghai and Shenzhen 300 Index and the Shanghai Composite Index is above 97%, the total market value coverage is about 70%, and the circulating market value coverage is about 59%. The Shanghai and Shenzhen 300 Index is highly recognized by the market because of its high market value coverage and strong representativeness. At the same time, the cumulative weight of the former 10 constituent stocks is about 19%, and the cumulative weight of the top 20 constituent stocks is about 28%. The characteristics of high market coverage and scattered weight of constituent stocks determine that the index has good anti-manipulation ability and is the most suitable index for stock index futures in Shanghai and Shenzhen stock markets at present.
The introduction of stock index futures will make the constituent stocks of Shanghai and Shenzhen 300 Index more concerned by the market, and its strategic role will also be enhanced. In particular, super-large blue-chip stocks will play a stronger strategic role in constituent stocks, bringing corresponding market premiums. At present, the competition between domestic stock market and banking industry reflects this significance.