Stock index futures is a kind of financial futures. Futures trading refers to a trading contract in which both parties agree to buy and sell a certain quantity and quality of the subject matter at a certain price by buying and selling futures contracts at a certain time and place in the future. As the name implies, stock index futures are futures contracts with monetized stock indexes as the subject matter. The most important function of stock index futures is that investors can use it to hedge stock spot investment and avoid systemic risks.
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2. Similarities and differences between stock index futures and commodity futures.
There is basically no essential difference between stock index futures and ordinary commodity futures except due delivery. Take the stock index of a stock market as an example. Suppose it is 1 000 points at present, that is to say, the current "price" of this market index is 1 000 points, and there is now an "index futures contract that expires at the end of February". If most investors in the market are bullish, the price of this index futures may have reached 65438+ at present. If you think the price of this index will exceed 1 100 at the end of 65438+February, maybe you will buy this stock index futures, that is, you promise to buy this market index at the price of 1 100 at the end of 65438+February. The index futures continued to rise to 1 150. At this time, you have two choices, either continue to hold your futures contract or sell the futures at the current new "price", namely 1 150. By this time, you have closed your position and gained 50 points. Of course, before the expiration of this index futures, its "price" may also fall, and you can continue to hold or close your position and cut your meat.
However, when the index futures expire, no one can continue to hold them, because the futures at this time have become "spot" and 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", refund more and make up less. For example, if the market index is actually 1 130 points when it expires at the end of February, you can get the price difference compensation of 30 points, which means you earn 30 points. On the contrary, if the index is 1050 points, you must take out 50 points to subsidize it, which means you lose 50 points. At this point, it is different from commodity futures, because stock index futures have no concepts such as premium, transportation fee and storage fee. By the delivery date, it is based on the stock price index at that time.
Of course, the so-called "points" of earning or losing are meaningless, and these points must be converted into meaningful monetary units. The specific conversion amount is agreed in advance in the index futures contract, which is called the contract scale. If the scale of market index futures is 100 yuan, taking 1000 points as an example, the value of a contract is 100000 yuan. At present, the Hang Seng Index in Hong Kong is about 65,438+05,600 points, each point corresponds to HK$ 50, so the value of a Hong Kong Hang Seng Index futures contract is about HK$ 780,000.
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3. The significance of stock index futures.
We say that there is little difference between stock index futures and commodity futures, so why does the market need stock index futures? In other words, what is the significance of stock index futures?
1. Provide a convenient short selling mechanism.
A prerequisite for short selling is that you must borrow a certain number of shares from others first. There are no strict conditions for short selling abroad, which makes it difficult for all investors to complete short selling in the financial market. For example, in Britain, only securities market makers can borrow British stocks; American Securities and Exchange Commission rule 10A- 1 stipulates that investors must borrow shares through securities brokers and pay a certain amount of related fees. Therefore, short selling is not suitable for everyone. The trading of index futures is not like this. In fact, more than half of index futures trading includes short selling positions.
2. The transaction cost is low.
Compared with spot trading, the cost of stock index futures trading is quite low. The cost of index futures trading includes: trading commission, bid-ask spread, opportunity cost of paying margin and possible tax. For example, in Britain, futures contracts do not need to pay stamp duty, and buying index futures only needs one transaction, while buying a variety of stocks (such as 100 or 500) needs multiple transactions, with high transaction costs. In the United States, a futures transaction (including the complete transaction of opening and closing positions) only charges about $30. Some people think that the transaction cost of stock index futures is only110 of the stock transaction cost.
3. The leverage ratio is higher.
In Britain, a futures trading account with an initial margin of only 2,500 pounds, the trading volume of the Financial Times 100 index futures can reach 70,000 pounds, and the leverage ratio is 28: 1. Because the amount of margin payment is determined according to the market value of the index futures traded, the exchange will decide whether to add margin or withdraw excess according to the price change of the market.
This market is highly liquid.
Research shows that the liquidity of stock index futures market is obviously higher than that of spot stock market. For example, 199 1, the FTSE-100 index futures trading volume is as high as 85 billion pounds.
Judging from the development of foreign and Hong Kong stock index futures markets, the investors who use stock index futures the most are the investment managers of various funds (such as mutual funds, pension funds and insurance funds). In addition, other market participants mainly include underwriters, market makers and stock issuing companies.
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4. Operation of stock index futures.
Futures contracts based on stock index are called stock index futures. Because of the uniqueness of its subject matter, it determines its unique trading rules.
1. transaction unit.
In stock index futures trading, the trading unit of the contract is expressed by the product of a certain amount of money and the underlying index, and then this certain amount of money is fixed by the contract. Therefore, the futures market only quotes through the points of the underlying index of each contract. For example, the Hang Seng Index futures contract listed in Hong Kong stipulates that the trading unit is the product of HK$ 50 and Hang Seng Index. Therefore, if the Hang Seng Index in the futures market is quoted at 65,438+05,000 points, it means that the value of a contract is HK$ 750,000. If the Hang Seng Index rises by 65,438+000 points, it means that the value of a contract has increased by HK$ 5,000.
2. The lowest price change.
The minimum change price of stock index futures, that is, a scale, is usually expressed by an index point. For example, the minimum change price of Hang Seng Index futures in Hong Kong is 1 index point, because the value of each index point is HK$ 50. Therefore, the minimum price change of each contract is HK$ 50, that is, the minimum price change of each contract is HK$ 50.
3. Daily price fluctuation limit.
Since the stock market crash of 1987+00 in June, most exchanges have imposed daily price fluctuation restrictions on their listed stock index futures and months, which is what we usually call the price limit system. The regulations of each exchange are different, not only in the scope of restrictions, but also in the way of restrictions. At the same time, exchanges often impose specific restrictions on daily price fluctuations according to specific circumstances.
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Verb (abbreviation of verb) The function of stock index futures
Generally speaking, futures trading has two functions: one is price discovery function, and the other is hedging function. As a kind of financial futures, stock index futures also have these two functions.
The so-called price discovery function refers to the use of trading systems such as open bidding in the futures market to form market prices that reflect the relationship between market supply and demand. Specifically, the price of the index futures market can make an expected response to the future trend of the stock market. Together with the stock indexes in the spot market, * * * can make an expectation on the macro-economy of the country and the operating conditions of specific listed companies. In this sense, stock index futures play a signal role in the allocation and flow of economic resources, which can improve the allocation efficiency of resources.
Hedging function means that investors buy or sell futures contracts with the same quantity as the spot but in the opposite direction, so as to compensate the actual losses caused by price fluctuations in the spot market by selling or buying futures contracts at some future time. This hedging function of stock index futures enriches the investment tools of stock market participants, promotes or promotes the activity of stock spot market transactions, reduces the panic impact of centralized selling on the stock market, and buffers the sharp fluctuation of the average stock price level.
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Pricing of stock index futures contracts with intransitive verbs
The theoretical pricing of stock index futures is an important basis for investors to make decisions on buying or selling contracts. Stock index futures can actually be regarded as the price of a security, and this security is the combination of stocks covered by this index.
Like the pricing of other financial instruments, the pricing of stock index futures contracts will vary greatly under different conditions. But a basic principle remains unchanged, that is, due to the existence of market arbitrage activities, the real price of futures should be consistent with the theoretical price, at least in the trend.
In order to explain the pricing principle of stock index futures contracts, we assume that investors trade stock index futures and spot stocks at the same time, and assume that: (1) investors first construct a portfolio that is completely consistent with the stock index (that is, the portfolio ratio, the "value" of the stock index and the market value of the stock portfolio are completely consistent); (2) Investors can easily borrow money to invest in the financial market; (3) Selling stock index futures contracts; (4) hold the stock portfolio until the expiration date of the stock index futures contract, and then use all the dividends obtained for investment; (5) sell all stock portfolios immediately on the delivery date of stock index futures contracts; (6) Cash settlement of stock index futures contracts; (7) repay the original loan with the income from selling stocks and closing futures contracts.
Suppose a stock market index is 2669.8 points on199965438+1October 27th, each point corresponds to $25, the index face value is $66745, the stock index futures price is 2696 points, and the average dividend yield is 3.5%; The price of stock index futures due in March 2000 is 2696 points, the last trading day of futures contract is March 19, 2000, the investment holding period is 143 days, and the interest rate of borrowed funds in the market is 6%. Suppose the index rises in five months, and in March 19 closes at 2900 points, that is, the index rises by 8.62%. At this time, according to our hypothesis, the price of the stock index will also rise by the same amount, reaching 72,500 US dollars.
According to the general principle of futures trading, investors will suffer losses when investing in index futures, because the market index rose from 2696 points to 2900 points, up 204 points, and lost 5 100 dollars.
However, investors also invested in the spot stock market, and the net income from the stock price increase was (72,500-66,745) = 5,755 dollars. During this period, the dividend income was about 9 15.2 USD, and the two incomes totaled 6,670.2 USD.
Let's look at its borrowing costs. At the interest rate of 6%, we borrowed $66,745 for a period of 65,438+043 days, and paid interest of about $65,438+0,569. Together with the loss of investment futures of $565,438+000, these two items total $6,669.
In the above example, simply comparing the profit and loss of investors, we will find that investors have not gained much extra income whether investing in the stock index futures market or the stock spot market. In other words, at the above stock index futures price, investors' risk-free arbitrage will not succeed, so this price is a reasonable stock index futures contract price.
Therefore, the pricing of index futures contracts (P) mainly depends on three factors: the market index of spot market (I), the lending rate of financial market (R) and the dividend yield of stock market (D). Namely:
P=I+I×(R-D)=I×( 1-R+D)
Where r refers to the annual interest rate and d refers to the annual dividend yield. In the actual calculation process, if the investment is held for less than one year, it will be adjusted accordingly.
Now let's turn it upside down and use the formula of stock index futures price just given to calculate the stock index futures price under the condition of given interest rate and dividend rate in the previous example:
p = 2669.8+×(6%-3.5%)× 143/365 = 2695.95
It should be pointed out that the above formula gives the theoretical price of the index futures contract under the previous assumption. It is difficult to satisfy all the above assumptions in real life. Because first of all, it is almost impossible for the smartest investors to construct a portfolio that is completely consistent with the stock market index structure in real life, especially in the case of a large stock market; Second, the spot trading of stocks in a short period of time often leads to higher transaction costs; Third, due to the differences of market trading mechanisms in different countries, for example, short selling of stocks is not allowed in China at present, which will affect the efficiency of stock index futures trading to some extent; Fourth, the dividend yield is hard to get in the actual market, because different companies and different markets have different dividend policies (such as the timing and methods of dividends), and the amount and time of dividends for each stock in the stock index are also uncertain, which will inevitably affect the correct judgment of the price of index futures contracts.
From the practice of foreign stock index futures market, the actual stock index futures price often deviates from the theoretical price. When the actual stock index futures price is higher than the theoretical stock index futures price, investors can make a profit by buying the stocks involved in the stock index and shorting the stock index futures; On the contrary, investors can profit from the reverse operation of the above operations. This trading strategy is called index arbitrage. However, in mature markets, the deviation between the actual stock index futures price and the theoretical futures price is always within a certain range. For example, S & amp；; The price of P500 index futures is usually within 0.5% of the theoretical value, which can avoid risk arbitrage to some extent.