In order to meet the needs of domestic investors and qualified foreign institutional investors (QFII), SGX has launched A50 stock index futures, which can be traded through electronic trading platforms. Judging from the characteristics of Xinhua A50 Index, it has many advantages that the domestic market lacks. First of all, Xinhua FTSE A50 is settled in US dollars, and the contract is small, which is convenient for investment; Secondly, the unique trading period of T+ 1 can effectively reflect the major events after the closing of China A-share market directly to the trend of A50 stock index futures, so it can directly reflect the market's response to unexpected policies. Investors can effectively avoid the risk of customer positions after the opening of the A-share market the next day by operating risk events at T+ 1 trading hours. Finally, the A50 index has a certain correlation with the trends of China Shanghai Stock Exchange Index and Shanghai and Shenzhen 300 Index, which can greatly increase investors' choices and enrich investors' trading means, and make investments by hedging and cross-market arbitrage. From the practical experience of foreign countries, the "early opening and late closing" mode of Singapore Stock Exchange is also very beneficial to investors. Opening the market early can digest market information and give full play to the price discovery mechanism; Closing at night is conducive to reducing the volatility of the spot market at the closing time, and at the same time providing investors with an effective hedging tool during the non-trading period of the spot market.
A50 Index is an index composed of the top 50 qualified companies selected from the A-share market according to the compilation rules of Xinhua FTSE A-share index. Its performance, liquidity, volatility, industry distribution, market representativeness and other indicators are at the leading level in the market. The index is based on the 50 A-share companies with the largest market value adjusted according to the circulation ratio in Shanghai and Shenzhen stock markets, with July 2 1 as the base period and 5000 points as the base point, and the sample stocks are adjusted regularly in June 1, April, July and June 10 every year. At present, A50 index accounts for 33.2% of the circulating market value of qualified A-share market, including China Unicom (600050), China Merchants Bank (600036), China Petrochemical, baoshan iron & steel, Shenzhen Development, Changjiang Electric Power (600900), Shanghai Automobile and other large-cap stocks.
Second, the product features
Denominated in US dollars;
Small contract scale, low margin, large leverage ratio and low investment threshold;
Trading time is long, which is divided into T+0(9:00- 15:25 (the same day)) and T+ 1 trading period 16: 10-2:00 (the next day));
It is the only offshore index futures related to China A-share market;
A50 is highly correlated with Shanghai and Shenzhen 300 index futures and China A-share ETFs listed on SGX and HKEx.
Three. Summary of Factors Affecting A50 Index Price
As the FTSE A50 index of Xinhua is highly correlated with the CSI 300 index, the factors that affect the CSI 300 index will also affect the A50 index, thus affecting the price of the futures index.
Macroeconomic factors
Economic cycle is the most important factor affecting the price of A50 index. In the stage of economic prosperity and development, due to the increase of investment and consumption and the increase of demand, the price of stock index futures shows an upward trend; On the contrary, in the cycle of economic depression and recession, investment and consumption decrease, total social demand decreases, and stock index futures prices often show a downward trend. At the same time, the government's fiscal and monetary policies and industrial policies also have an impact on the relevant sectors, thus affecting the trend of the index through the weight ratio, and then affecting the trend of the futures index.
(B) Enterprise factors of constituent stocks
The constituent stocks of Xinhua FTSE A50 Index, especially those with heavy weights, such as China Petrochemical and Bank of China, will have a great impact on the stock index when paying dividends or sending shares. Among them, cash dividend will reduce the stock price and circulating market value; Stock dividend will reduce the stock price, but it will not affect the circulating market value; Sending shares will increase the market value of circulation; No matter whether it is additional issuance or new shares, it will increase the market value of circulation and then push up the stock index.
(3) the trend of heavyweights
Pay special attention to the sample stocks of Xinhua FTSE A50 index, which may have certain investment opportunities. When the weight sample price fluctuates violently, it will lead to the fluctuation of the circulating market value of the stock index, thus affecting the trend of the stock index. Therefore, paying attention to the trend of heavyweights can predict the trend of the index in advance. At the same time, we should also pay attention to the trend of other related indexes, such as Shanghai Stock Exchange Index and Shenzhen Stock Exchange Index.
4. The relationship between FTSE A50 index futures and Shanghai and Shenzhen 300 index futures
First, volume comparison.
As can be seen from the figure, when the FTSE A50 futures index was launched, contract trading was not active. According to the continuous contract data published by Bloomberg, before September 20 10, the monthly turnover of FTSE A50 futures contracts was less than 1 10,000 lots. However, with the introduction and active varieties of Chinese stock index futures, FTSE A50 futures index began to attract the attention and participation of overseas investors. Since July 20 12, the monthly turnover of FTSE A50 index and Shanghai and Shenzhen 300 index has shown a steady upward trend. Since the second half of 20 14, although the turnover of the two futures indexes has been repeated, it has shown explosive growth as a whole.
Second, the trend correlation.
Judging from the compilation of their spot indexes, FTSE A50 Index and CSI 300 Index are calculated according to the formula of licensed weighted comprehensive price index, and both of them are weighted by the method of free circulation market value grading. In terms of the composition of constituent stocks, the FTSE A50 index sample selected 50 companies with the largest market value in the A-share market, while the constituent stocks of the Shanghai and Shenzhen 300 Index were composed of the top 300 stocks with large market value and high liquidity, and their constituent stocks had a high degree of overlap. From the above chart, it can be intuitively found that the trends of Shanghai and Shenzhen 300 Index and FTSE A50 Index are obviously in the same direction. The convergence of spot index makes the futures trend of the two also show similar characteristics.
In addition, from the correlation coefficient of index returns, the two have a high correlation. According to the statistical data (May 2065438+00—June 2065438 +05), the correlation coefficients between the CSI 300 Index and the FTSE A50 Index are 0.959, 0.95 1 and 0.956 respectively. These two highly correlated indexes provide good opportunities for investors who cannot directly invest in China A-share market.
In terms of futures, the contract design of Shanghai and Shenzhen 300 futures index is quite different from that of FTSE A50 futures index. 1. The Shanghai and Shenzhen 300 futures index has higher requirements for funds: At present, CICC temporarily adjusts the margin level of stock index futures to 40%, and the margin for trading primary IF contracts is above 350,000, while the margin for trading primary A50 futures contracts is about 2,400 US dollars. Second, the most obvious difference between the two is the difference in trading time. The trading of Shanghai and Shenzhen 300 futures index is divided into morning and afternoon trading hours, both of which are traded on the exchange. The FTSE A50 index is divided into two periods: exchange trading and electronic trading. Compared with the Shanghai and Shenzhen 300 Index, the trading hours of the exchange are 15 minutes earlier and 40 minutes later (9: 00- 15: 55), with continuous intervals. The electronic trading period is from 4: 40 pm on the same day to 2: 00 am on the next day, and the Shanghai and Shenzhen 300 futures refer to no trading during this trading period. Third, the investor structure of the two is also very different. The Shanghai and Shenzhen 300 Futures Index is listed and traded in CICC, mainly for domestic retail investors, while the FTSE A50 Futures Index is mainly for overseas institutional investors.
Because FTSE A50 refers to the time of electronic trading in the evening, and most important news or events in China will be announced during this time period, FTSE A50 can respond to the news immediately, and its closing price of electronic trading contains the latest news, which to some extent sets the general direction for the stock market the next day. By observing their daily data from May 20 10 to June 20 15, we find that if the closing price of FTSE A50 futures index rises relative to the closing price during daytime trading hours, the probability of FTSE A50 futures index rising the next day is 67. 16%, while the probability of Shanghai and Shenzhen 300 futures index rising the next day is 616%. The data shows that the closing price of FTSE A50 futures index can predict the opening of Shanghai and Shenzhen 300 futures index.