Stock index futures is a kind of financial futures, with the price index of the stock market as the trading object. Stock index futures (hereinafter referred to as stock index futures) are financial futures contracts with the stock price index as the subject matter. The risks faced by stock market investors in the stock market can be divided into two types. One is the overall risk of the stock market, also known as system risk, that is, the risk that the prices of all or most stocks fluctuate together. The other is individual stock risk, also known as non-systematic risk, that is, the risk of market price fluctuation faced by holding a single stock. Through portfolio, that is, buying a variety of stocks with different risks at the same time, we can avoid unsystematic risks well, but we can't effectively avoid systemic risks brought about by the decline of the whole stock market. Since 1970s, the volatility of stock markets in western countries has become increasingly fierce, and it is more and more urgent for investors to avoid systematic risks in the stock market. Because the stock index can basically represent the trend and range of stock price changes in the whole market, people began to try to convert the stock index into a tradable futures contract, and use it to hedge all stocks to avoid systemic risks, so stock index futures should be born.
Stock index options are actually stock index futures;
The principle of using stock index futures to hedge is based on the same trend of stock index and stock price. Do the opposite operation in the spot market and the stock index futures market to offset the risk of stock price changes. The price of a stock index futures contract is equal to the number of points of a stock index multiplied by the specified price of each point. The price of various stock index futures contracts is different at each point. For example, the price of the Hang Seng Index is 50 Hong Kong dollars, that is, every time the Hang Seng Index is reduced. Buyers (bulls) of futures contracts will pay every point.
For example, an investor holds 65,438+00 listed stocks in the Hong Kong stock market with a total market value of HK$ 2 million. The investor predicted that the financial crisis in Southeast Asia may trigger an overall decline in the Hong Kong stock market. In order to avoid risks, he hedged and sold the Hang Seng Index futures with a three-month maturity at the price of 13000 points. In the next two months, the stock market really plummeted. The market value of shares held by investors ranges from 200 pounds. 654.38+0.55 million Hong Kong dollars. The stock spot market lost HK$ 450,000. At this time, the Hang Seng Index futures also fell to 654.38+00000 points. So the investor bought the original three contracts in the futures market by closing the position, and realized the closing profit of the futures market of HK$ 450,000. The profit of the futures market just offset the loss of the spot market, which achieved a good hedging. Similarly, stock index futures, like other futures, can be used to buy.
What are the characteristics of stock index futures?
Stock index futures have at least the following characteristics:
(1) intertemporal. Stock index futures is a contract in which both parties agree to trade at a certain time in the future under certain conditions by predicting the changing trend of stock index. So the trading of stock index futures is based on the expectation of the future. The accuracy of expectations directly determines the profit and loss of investors.
(2) lever. Stock index futures trading does not need to pay the contract value in full. It only needs to pay a certain percentage of the deposit to sign a contract with greater value. For example, suppose that the trading margin of stock index futures is 10%. Investors only need to pay 65,438+00% of the contract value to trade. In this way, investors can control the investment of 65,438+00 times of contract assets.
(3) linkage. The price of stock index futures is closely related to the change of its basic asset-stock index. Stock index is the basic asset of stock index futures, which has a great influence on the price changes of stock index futures. At the same time, stock index futures is the expectation of future prices, so it also has a certain guiding role for stock indexes.
(4) High risk and risk diversity. The leverage of stock index futures determines that it is more risky than the stock market. In addition, stock index futures also have specific market risk, operational risk and cash flow risk.
There is basically no essential difference between index futures and ordinary commodity futures except for due delivery. Take a stock market as an example. Suppose it is 1 0,000 points at present. In other words, the [price] of this market index is currently trading at 1000. Now there is a [1 0,000-point futures contract] that expires at the end of February. At present, the futures price of this index has reached 1 100. If you think it will end at 12, the [price] of this index will exceed 1 100. Maybe you will buy this stock index futures. In other words, you promise to buy this index futures at the end of 12. The index futures continued to rise to 1 150. At this time, you have two choices. Either you continue to hold your futures contract, or you sell this futures at the current new [price], that is, 1 150 points. By this time, you have closed your position and gained 50 points. Sure .. or close the position and cut the meat. However, when the stock index futures expire, no one can continue to hold them, because at this time the futures have become "spot". You must buy or sell the index at the promised price. According to the difference between the price of your futures contract and the current actual price, for example, the futures contract expires at the end of February, this market index is actually. Get the price difference compensation of 30 points. That means you earned 30 points. On the contrary, if the index is 1050 points, you must take out 50 points to subsidize it. In other words, you are missing 50 points. Of course, the so-called "points" of gains and losses are meaningless. You must convert these points into meaningful monetary units. How much do you want to change them into? In an index futures contract, you must first. On-site index futures scale is 100 yuan. Take 1000 as an example. The value of a contract is100000 yuan. Stock index futures trading is different from stock trading.
1. Stock index futures can be sold short. A prerequisite for short selling of stocks is to borrow a certain amount of stocks from others first. Foreign countries have strict conditions for stock short selling, but index futures trading does not. In fact, more than half of index futures trading includes short selling positions. For investors, the most attractive part of the short-selling mechanism is that when the overall trend of the stock market is expected to be in a downward trend, investors can take the initiative instead of passively waiting for the stock market to bottom out, so that investors can make a difference in the falling market. 2. The transaction cost is relatively low. Compared with spot trading, the cost of stock index futures trading is quite low. In foreign countries, it is only about one-tenth of the stock transaction cost. The cost of index futures trading includes: trading commission, bid-ask spread, opportunity cost of paying deposit (also called deposit) and possible taxes and fees. In the United States, a futures transaction (including the complete transaction of opening and closing positions) charges only about $30. 3. The leverage ratio is higher. The higher leverage ratio means the lower profit rate. In the UK, for a futures trading account with an initial margin of only 2,500 pounds, it can trade 100 FTSE-65438+ index futures for 70,000 pounds. The leverage ratio is 28: 1. 4. The liquidity of the market is relatively high. Studies have shown that the liquidity of stock index futures market is obviously higher than that of stock spot market. For example, the trading volume of FTSE 100 index futures has reached 85 billion pounds. Derivative market based on ticket market. However, futures delivery refers to cash, that is, only profit and loss are calculated at the time of delivery, and physical objects are not transferred. During the delivery period of futures contracts, investors do not have to buy or sell the corresponding stocks to fulfill their contractual obligations, thus avoiding the phenomenon of "crowding out the market" during the delivery period. Generally speaking, the stock index futures market focuses on buying and selling according to macroeconomic data, while the spot market focuses on buying and selling according to the situation of a single company. Stock index futures market
I. Futures Exchange
A futures exchange refers to a place where the law allows buying and selling stock index futures contracts. The futures exchange is an important part of the futures market. The laws of most countries (regions) in the world stipulate that the trading of goods must be carried out at designated exchanges. Any transaction outside the futures exchange is illegal. Although there is a trend of corporatization in various exchanges in recent years, most exchanges in the world are non-profit membership organizations. Article 7 of China's 1999.09.65449 Provisional Regulations on the Administration of Futures Trading stipulates that futures exchanges shall not be for profit. Implement self-discipline management in accordance with the articles of association and bear civil liability with all its assets. China Securities Regulatory Commission issued regulations that the registered capital of a futures exchange is divided into equal membership fees, which are funded and subscribed by members. The rights and interests of futures exchanges are shared by members. During its existence, it shall not be accumulated and distributed to members. It stipulates ten duties that the futures exchange should perform: providing places, facilities and related services for futures trading, formulating and implementing the business rules of the futures exchange, designing futures contracts and arranging the listing of futures contracts. Organize and supervise futures trading, settlement and delivery, formulate and implement risk management system, control market risks, ensure the performance of futures contracts, release market information, supervise the futures business of members, check the illegal behavior of members, supervise the futures business of designated delivery warehouses, and perform other duties stipulated by China Securities Regulatory Commission. The Measures for the Administration of Futures Exchanges defines the organizational structure of futures exchanges. The futures exchange has a general meeting of members and a board of directors. The general meeting of members is the authority of the futures exchange and consists of all members. The board of directors is the permanent body of the shareholders' meeting and is responsible to the shareholders' meeting. The board of directors consists of 9 to 15 people, of which the non-member directors are not less than 1/3 of the total number of board members and not more than 1/. 2. The board of directors of a futures exchange may set up special committees for supervision, trading, delivery, membership review, mediation and finance. The specific responsibilities of the special committees shall be determined by the board of directors and be responsible to the board of directors. The futures exchange shall have one general manager and several deputy general managers. The general manager is the legal representative of the futures exchange and an ex officio director. In addition to futures contracts, the exchange also provides trading opportunities for options and other spot financial instruments. The basic purpose of the establishment of the exchange is to provide an organized and centralized market, and to formulate standardized futures contracts and unified trading regulations for members to engage in trading. Supervise all transactions and the implementation of relevant laws and regulations. However, the exchange itself does not engage in futures trading. Members have the right to enter the market, but have no obligation to enter the market.
Clearing house, also known as clearing company, refers to the institution responsible for hedging, delivery and unified clearing of futures contracts traded on futures exchanges. The establishment of clearing institutions is an important guarantee for the safety and efficiency of futures trading. Some clearing houses are important departments of exchanges (such as CME of CME and NYMEX of the New York Mercantile Exchange). Some clearing houses are independent of exchanges in organizational structure, financial system and operation system (such as CBOT of Chicago Board of Trade). Most clearing houses are independent institutions. However, there are several different exchanges that use the same clearing house, such as ICCH. Responsible for clearing most British futures exchanges. Intermartet Clearing Company is responsible for the clearing of New York Futures Exchange (NYFE) and Philadelphia Stock Exchange (PBOT). Like exchanges, clearing houses are usually non-profit member organizations. Members of the clearing house are usually affiliated with the exchange. In addition to the ordinary member seats of the exchange, it is necessary to pass stricter financial indicators than ordinary members. Therefore, the members of the futures exchange are divided into settlement members and non-settlement members. Non-settlement members should make liquidation through settlement members and pay a certain commission fee. Futures trading institutions across the country. The function of supervising futures settlement. The settlement department under the exchange is the institution that undertakes futures settlement. One of the trends of the integration of global securities market and futures market is that there are more and more merger cases between exchanges and clearing institutions. 3. brokers.
There are two kinds of members of a futures exchange: dealers and brokers. A dealer is a member who buys and sells futures for himself. However, after doing business, they don't buy or sell futures contracts. They are only entrusted by non-member customers to conduct futures trading on the exchange instead of them, and collect commissions from customers as income. Abroad, some exchanges are limited to private ownership of exchange seats. Some exchanges also allow enterprises, companies and other institutions to apply for seats. In the United States, according to. The definition of National Futures Association (NFA). Futures broker (or futures broker). FCM) can be an individual or an organization. It is a company or enterprise that trades futures or options on behalf of financial, commercial institutions or the public. Some people also call it the telephone office, brokerage company or commission bank. It is a highly diversified part of the financial sector. Some companies specialize in financial and commercial hedging. Others are devoted to public speculation. The Interim Measures for the Administration of Futures Trading stipulates that members of futures brokerage companies can only accept clients' entrustment to engage in futures brokerage business. Non-members of futures brokerage companies can only engage in futures proprietary business. It is further clarified that futures brokerage refers to the business activities entrusted by customers to conduct futures trading for customers in their own name according to their instructions, and the trading results are borne by customers. Futures brokerage business must be established according to law. No other unit or individual may engage in futures brokerage business. Four. Investors.
Stock index futures have a wide range of investors. One way to distinguish them is to divide them into traders or professional speculators, hedgers and mass traders. Professional speculators are also divided into "hat snatchers", day traders and big position traders. But more generally, investors are divided into hedgers, arbitrageurs and speculators. 1.
Hedgers are traders who avoid systemic risks in stock trading through stock index futures trading. They are the main participants in the stock index futures market. The hedgers of stock index futures mainly include securities issuers, fund management companies, insurance companies, securities companies and other institutional investors in the securities market. 2. Arbitrator.
Arbitrators refer to traders who use the unreasonable price relationship between stock index futures market and stock spot market, and between different stock index futures markets and different stock index futures contracts. He earns differential income by buying and selling at the same time. For a discussion on the strict difference between arbitrage and profit, see Chapter 6.7. Index arbitrage is the most commonly used arbitrage method for stock index futures. When the actual futures price deviates from the theoretical futures price, he may get risk-free income by buying and selling at the same time. Easy activity is very important to the stock index futures market. Its trading activities can quickly restore the wrong pricing balance of the market, which is conducive to the stability of the market price and is also the transmission channel of the price discovery mechanism in the stock index futures market. 3. speculators.
Speculators are traders who make profits by buying low and selling high or selling high and buying low according to their own predictions on the trend of stock index. For speculators in stock index futures, it is not exactly the same as commodity futures or other financial futures, because investors indirectly invest in the stock market through the stock index futures market, with low cost and high efficiency. Five, the basic function of the stock index futures market.
The basic functions of the stock index futures market include two aspects. On the one hand, from the perspective of the whole capital market or social and economic system, stock index futures have three major economic functions: one is the price discovery function. The price of stock index futures is formed by the two parties in the exchange through open bidding or computer automatic matching electronic trading. Information about futures prices is constantly coming from various scattered aspects. Traders often use relevant information to consider price decisions. Make a reasonable estimate. Although individual investors' price estimation of related assets will be biased, collective rationality will form a more reasonable futures price as a whole. Due to the frequent trading of futures contracts, high market liquidity, low transaction cost and small bid-ask spread, the value of instant information will soon be reflected in futures prices. The concentration and open trading of stock index futures are similar to the openness, transparency and harmony of price information in a perfectly competitive market. Time propagation has an important influence on the stock price expectation and the price decision of the next stock index futures. The second is the function of stabilizing the market and enhancing liquidity. When the stock market price deviates from the stock index futures market price, speculators, arbitrageurs and hedgers in the market can keenly measure the mispricing degree of one or two markets. By comparing transaction costs, they can conduct various trading operations, thus correcting market mispricing, stabilizing market fluctuations and preventing violence. Ups and downs. Because of arbitrage, hedging and other investment strategies, stock index futures will increase the demand for stock trading, thus enhancing the liquidity of the stock market. Third, it will promote the formation of capital. According to the famous economist J. Tobin, the concept of Q ratio was put forward. When the ratio of the market value of assets and liabilities to their replacement cost is Q ratio. Q > 1, which is more conducive to new capital investment, thus increasing investment demand. When Q < 1, it is cheaper for enterprises to buy ready-made capital products than new capital investment, which will reduce capital demand. As long as the market value of an enterprise's assets and liabilities increases relative to its replacement cost, the Q ratio will increase. The price level of securities is determined by the balance between the supply and demand sides of securities. Because of arbitrage and risk aversion, stock index futures can increase the demand for stocks. It can also make the supply of securities relatively stable due to expected hedging. These factors can promote capital formation. On the other hand, the basic function of stock index futures market is that investors can use stock index futures to invest and manage assets more effectively. The first is the financing of securities assets of residents and institutions. The proportion of production is increasing. Investors often have to adjust and reconfigure assets according to the changes in various asset returns. Simply using the spot market of securities to adjust the asset structure will cause the stock price to change greatly, which will increase the market volatility and the execution cost and commission fee of investors' transactions. The use of stock index futures contracts may make the comprehensive position meet the requirements of adjusting the asset structure through the exposure of different assets, without causing the price to rise. Fluctuation. The transaction cost is also low. Second, securities underwriters and issuers can use stock index futures to hedge price risks and ensure the smooth issuance of securities. Third, investors can use the stock index futures market for hedging and arbitrage transactions. Hong Kong Hang Seng Index futures market accounts for about 20% of the total trading volume, which fully reflects the great value of Hang Seng Index futures for hedging. Especially institutional investors. That is, index investment funds can use stock index futures to carry out arbitrage transactions and obtain risk-free returns. Fourthly, investors can indirectly invest in the stock market by using stock index futures, so that they can concentrate on analyzing the macroeconomic prosperity and the general trend of the stock market, avoid the trouble of selecting investable stocks from many stocks, and reduce the cost of information collection, processing and processing for investing in the stock market. Sixth, China has developed some special functions of the stock index futures market.
In addition to these general functions, China has some special functions in developing the stock index futures market. First of all, it provides conditions for cultivating and developing institutional investors. The experience of developed securities markets shows that the use of insurance funds. Institutional investors, mainly mutual funds and pension funds, play an important role in promoting the stability and development of the securities market. The advantage of institutional investors lies in using portfolio investment to reduce risks. However, portfolio investment can only reduce non-systematic risks, but it cannot avoid systematic risks. China's securities market is still in the development stage, and it belongs to an emerging market, with a high proportion of systemic risks. To cultivate and develop institutional investors, it is necessary to provide stock index futures as a tool to avoid systemic risks. A series of conditions, including the stock index futures market, are linked to optimizing the investor structure. Second, the need for internationalization of the stock market. With China's entry into WTO, China's economic opening will face a series of tests. On the one hand, foreign investors are mainly institutional investors, and they have a strong need to avoid risks. On the other hand, the entry of foreign investors into the China stock market may increase market volatility, or even make large fluctuations adjustment. Stock index period. The commodity market is not only to meet the needs of overseas investors and attract foreign investment, but also to stabilize the stock market under open conditions. Third, improve the structure of the securities market, enrich the market level and promote market deepening. At present, China's securities market only has a single main board market and growth enterprise market market, that is, only the exchange market, lacking the OTC market of unlisted stocks and the third-and fourth-tier markets needed by institutional investors, which can not meet the capital needs of different levels to the maximum extent. The demand of gold demanders and capital suppliers, as well as the imperfect market mechanism, make it difficult for the securities market to play its functions of raising assets and allocating resources. While developing and perfecting the basic asset market at all levels, the development of derivative products market, including stock index futures, stock options, stock index options and warrants, convertible bonds and depositary receipts, plays a very important role in promoting market deepening and market function. Five meanings of stock index futures
Stock index futures has the functions of hedging, price discovery and asset allocation, and is an important risk management tool in the international capital market. According to the characteristics and development trend of China's current capital market, it is of positive significance to carry out stock index futures trading in China, which is embodied in: (1) avoiding systematic risks in the stock market and protecting investors' interests.
One of the characteristics of China stock market is that the stock index fluctuates greatly and the system risk is high. This kind of risk cannot be avoided through diversified investment in the stock market. Developing stock index futures trading can not only provide tools for stock underwriters to underwrite stocks in the primary market, but also hedge risks for investors in the secondary market and ensure investment returns. (2) It is conducive to creatively cultivating institutional investors and promoting the standardized development of the stock market.
At present, the proportion of institutional investors in China is low, which is not conducive to the standardized development of the stock market. Carrying out stock index futures trading can provide effective risk management tools for institutional investors, increase investment varieties, promote long-term portfolio investment and rational trading, improve market liquidity, reduce institutional investors' transaction costs and improve the efficiency of capital use. In particular, China will develop open-end funds. Because it can be redeemed at any time, there must be corresponding derivatives such as stock index futures. Matching can ensure the safe operation of open-end funds. It can be seen that stock index futures are conducive to creatively cultivating institutional investors and promoting the standardized development of the stock market, which has been proved by the successful experience of international market development. (3) Promote the reasonable fluctuation of stock prices and give full play to the role of economic barometer.
Due to the lack of risk aversion mechanism, many institutional investors can only make short-term speculation with the help of inside information to achieve the purpose of making profits, thus causing abnormal fluctuations in the stock market. Carrying out stock index futures trading can collect a lot of information, which is conducive to improving the transparency of the stock spot market. If the spread between the stock spot market price and the stock index futures market increases, it will lead to a lot of arbitrage between the two markets, which can restrain the excessive fluctuation of the stock market price. In addition, the expected price found in stock index futures trading can reflect the future changes of the national economy more sensitively and give full play to the role of the barometer of the national economy. (4) increase the holding of large-cap stocks of state-owned enterprises and serve the reform of state-owned enterprises.
The introduction of stock index futures will change the nature of some large-cap stocks and increase the enthusiasm of investors to invest in large-cap stocks of state-owned enterprises. At present, the sample stocks of China Component Index are often dominated by blue chips, and large-cap stocks of state-owned enterprises account for a large proportion. The development of stock index futures trading will help to improve the enthusiasm of investors to participate in such stock trading, thus indirectly promoting the issuance of large-cap stocks of state-owned enterprises. Damod aran et al. (1990) made an empirical study on sample stocks of S & P500 index, which showed that the market value of sample stocks of index was more than twice that of non-sample stocks within five years after stock index futures trading. In addition, to solve the problem of listing and circulation of state-owned shares, one of the solutions discussed at present is to set up large funds and launch stock index futures, which is conducive to avoiding risks and safe operation of funds, thus providing services for listing and circulation of state-owned shares. (5) Improve the function and system, and improve the capital market in China.
It can be seen from the development trend of the international market that the role of stock index futures in improving the function and system of the capital market has been widely recognized. In today's economic globalization, if we still stay in the traditional trading mode and do not introduce modern financial instruments, China's capital market will be imperfect in function and system. It is not only difficult to connect with the international financial market, but also difficult to provide a place to avoid risks for the entry of international investment capital, which is not conducive to China's absorption of foreign capital. After joining WTO, China has no patent right to trade its own stock index futures. For example, the Nikkei 225 index was successfully developed by Singapore. At present, due to the incomplete opening of China's capital market, China's stock index futures have not been launched abroad. However, once the capital market is opened to the outside world, China's stock index futures trading will be launched quickly. Therefore, in order to enhance the competitiveness of China's capital market, China should launch stock index futures trading as soon as possible, which is of great strategic significance to the development of China's capital market.
Characteristics and functions of stock index futures
Financial futures are divided into three categories: foreign exchange, interest rate and index futures. Stock index futures is the leading variety in index futures, and it is also the financial product with the shortest history and the fastest development.
Stock index futures trading refers to futures trading with stock index as the trading target. Compared with other futures varieties, stock index futures varieties have the following characteristics: 1. The object of stock index futures is the corresponding stock index.
2. The quotation unit of stock index futures is based on index points. The value of a contract is expressed by the product of a currency multiplier and the quotation of a stock index. 3. The delivery of stock index futures is cash. That is, the position is settled by clearing the price difference instead of the stock. 2. The role of stock index futures.
Stock index futures have the functions of price discovery, hedging and asset allocation.
(1) price discovery
Stock index futures trading can produce stock index futures contract prices in different maturity months in the future, reflecting the expectation of the future trend of the stock market. At the same time, foreign scholars show that the stock index futures price is generally ahead of the stock spot market price, which is helpful to improve the information content of the stock spot market price. Therefore, stock index futures and stock indexes in the spot market can play the role of a barometer of national macroeconomic prosperity. (2) hedging.
Stock index futures can meet the strong demand of market participants for risk hedging tools in the stock market and promote the development of primary and secondary markets. The specific performance is: 1 Strictly speaking, the price risk of individual stocks can only be hedged by corresponding stock futures. However, when there is systemic risk in the stock market, individual stocks or portfolio investments can be hedged through stock index futures contracts. 2. Stock underwriters can hedge risks and lock in profits by selling a corresponding number of stock index futures contracts in advance while underwriting stocks. 3. When shareholders, brokers, investment funds and other investors of listed companies hold stocks, they can hedge the whole stock market by selling stock index futures contracts. Systematic price decline risk. Maintain the original value of stock assets while continuing to enjoy the corresponding shareholders' rights and interests, reduce the panic impact of centralized selling on the stock market, and promote the standardization and development of the stock secondary market. (3) Asset allocation.
Stock index futures have the function of asset allocation, which is embodied in:
1. Introduce short selling mechanism. The short-selling mechanism changes investors' investment strategy from a single mode of waiting for the stock price to a two-way investment mode, so that investors' funds can make a difference in the market decline instead of being passively idle. 2. Promote the development of institutional investors, promote securities investment and strengthen risk management.
3. Increase market liquidity, improve the efficiency of capital use and improve the function of the capital market.