After a period of discussion, research and demonstration, the preparatory group of Shanghai Financial Derivatives Exchange has a relatively unified opinion on the underlying index and contract size of the first stock index futures, and the Shanghai-Shenzhen 300 Unified Index is likely to become the underlying index of the first stock index futures.
As early as the end of 200 1, the Shanghai Stock Exchange and Shenzhen Stock Exchange had initially completed the design of Unified 300. Since 2002, the index has been running on the Shanghai Stock Exchange and officially listed. The index runs for a long time and has the characteristics of trading index; More importantly, it is the product of the cooperation between the two exchanges, and it is the first widely representative A-share unified index, which can better reflect the market operation, so it is favored by the regulatory authorities and thus becomes the preferred target of stock index futures.
An expert who participated in the design of Uni-300 said that Uni-300, as the underlying index, has high hedging function and low hedging cost, which creates favorable conditions for institutional investors to hedge, which is in line with the original intention of the management to launch index futures.
The first requirement for regulators to choose an index is that it is conducive to risk control, followed by liquidity and trading. The above-mentioned people said that although some indexes are better than Uni-300 in liquidity and trading, they are easily manipulated by the market.
Through comparison, the preparatory group learned that Uni-President 300, Dow Jones, Standard & Poor's 500, Nikkei 225 and many other internationally renowned indexes are both benchmark and transactional. From the calculation results, its total market value coverage rate is 65% on average, which is quite stable; The liquidity weight is lower than the scale weight, and the transaction amount coverage rate is basically above 50%. This shows that the Shanghai and Shenzhen 300 index not only reflects the real face of the market, but also is not easy to be manipulated under the background of decentralization of the A-share market.
It is also known that the preparatory group of Shanghai Financial Derivatives Exchange is going to submit a report to China Securities Regulatory Commission, explaining the reasons and significance of choosing Uni-300 as the first product of stock index futures.
The introduction of Unified 300 Stock Index Futures has created favorable conditions for fund industry, institutional investors and the majority of small and medium-sized investors to broaden investment channels, hedge and control investment risks, which is helpful for the investment, wealth management and financial services industry to get out of the predicament, build a more perfect security system in the system, increase investment opportunities and expand service scope.
At the same time, the introduction of unified 300 stock index futures will also provide more room for the reform of non-tradable shares, which will help the government to use more economic leverage to regulate the securities market and create good conditions for establishing a stable market environment. The sample stocks of the Shanghai and Shenzhen 300 Index are the 300 most liquid stocks among all A-shares in Shanghai and Shenzhen stock markets.
Sample space: All A-share stocks in Shanghai and Shenzhen stock markets except the following.
Stocks listed for less than one quarter;
Suspension of stock listing;
Stocks with abnormal operating conditions or serious losses;
Stocks whose share price fluctuates greatly and whose market performance is obviously manipulated;
Other stocks that should be eliminated as determined by the expert committee.
Sampling criteria: scale and liquidity.
Sampling method: Rank the average daily turnover of the stocks in the sample space in the latest year (since the listing of new shares) from high to low, eliminate the last 50% stocks, and then rank the remaining stocks from high to low according to the total daily market value, and select the top 300 stocks as sample stocks.
Sample stock adjustment: Based on the principle of combining sample stability with dynamic tracking, the Shanghai and Shenzhen 300 Index adjusts its constituent stocks once every six months, and the proportion of each adjustment generally does not exceed 10%. Sample adjustment sets the buffer, and the new samples ranked within 240 will enter first, and the old samples ranked before 360 will be reserved first. When a sample stock company delists from the market, it will be removed from the index sample from the delisting date, and will be replaced by the highest ranked stock in the sample when the index is regularly adjusted.
Base date, base period and base period index: based on the base date of 65438+February 3, 20041and the adjusted market value of 300 constituent stocks on that date, the base period index was set at 1000 points, which was officially released on April 8, 2005.
Calculation formula: calculated according to Pai weighted comprehensive price index formula.
Index of reporting period = adjusted market value of constituent stocks in reporting period/adjusted market value of constituent stocks on benchmark date × 1000.
Among them, the adjusted market value = ∑ (market price × adjusted share capital), and the adjusted market value of constituent stocks on the base date is also called divisor, and the adjusted share capital adjusts the share capital of constituent stocks by grading. The classification and filing methods of CSI 300 are shown in the following table. For example, if the proportion of tradable shares (circulating share capital/total share capital) of a stock is 7% and less than 10%, the circulating share capital will be the weight; The circulation ratio of a stock is 35%, which falls within the interval (30, 40), and the corresponding weighting ratio is 40%, so 40% of the total share capital is used as the weight. The Shenzhen 300 Index has three main characteristics: First, it is representative. The sample stocks of the Shanghai and Shenzhen 300 Index account for about one-fifth of all A shares in Shanghai and Shenzhen, but the sample covers about 60% of the market value and 58.29% of the circulating market value in Shanghai and Shenzhen. Secondly, it is investment. The total net profit of the sample company accounts for 83.55% of the total market net profit, and the total cash dividend accounts for 80% of the total market dividend. The average P/E ratio 19 times is lower than the overall market level. The third is relevance. There is a high correlation among Shanghai and Shenzhen 300 Index, Shanghai Stock Exchange 180 Index and Shenzhen Stock Exchange 100 Index, with the correlation coefficients reaching 99.7% and 99.2% respectively, indicating that the Shanghai and Shenzhen 300 Index can fully reflect the overall situation of stock price changes in the Shanghai and Shenzhen A-share markets.
However, due to the lack of authoritative industry classification standards in China, the Shanghai and Shenzhen 300 Index does not classify industries. At the same time, the Shanghai and Shenzhen 300 Index mainly adopts the grading and filing technology widely used in international index compilation.