Category: Money Tips Date: 2006-10-21
Stock index futures prices are always the subject matter of their own based on spot prices, spot prices can not be there completely out of sync with the index case: in stock index futures prices higher than the spot price of the forward market, stock index futures prices will eventually fall into the the level of spot price index, or the final spot price index to rise to the level of stock index futures prices, the two merged. This is because the holding costs down and the spot in the stock market and stock index futures market there exist a large number of arbitrage.
If the stock index futures contracts traded in the spot market after the stock prices, and continued until the delivery month, prices of stock index futures contracts will follow decline and decline and the stock for at least the same drop in spot prices. Otherwise, the spot price fall in the stock, stock index futures prices have dropped, but the magnitude is less than the spot price index fell, then the stock index price differential will be greater than the cost of ownership, arbitrageurs will be selling in the stock index futures market out of futures contracts, while the spot market to buy stock index stock and hold to the delivery month futures contract to sell, this arbitrage activity will continue until the stock-index futures rates, with a decline in spot prices drop as stock indexes fell at least lower prices until the same.
It can draw a general conclusion: In the forward market, the spot price if the stock decline in index futures prices also fell, but because the original stock index futures prices higher than the spot price index, so a larger drop, until the stock index futures delivery month Price convergence of spot prices in line with the index. Similarly, in the forward market, if the spot prices, stock index futures prices also rose, but the increases were less than the spot price, to the delivery month stock index futures prices and spot prices combined.
If the stock index futures price is higher than the spot price, when nearer delivery month contract price is higher than more distant delivery month contract price. We call such a market downturn in the market or reverse the market. Reasons for this are because of the recent stock market is a desperate need for cash, is much larger than the recent supply; the same time, the stock is expected in the future will be a substantial increase in the supply of cash; In short, the reverse appears the market is due to people's stock of goods on stock demand is too urgent, the stock spot price is never too high expense, resulting in the stock spot prices rose sharply. This price does not mean the relationship between the cost of holding cash expenditure does not hold, as long as holding cash and save it to a future period, the holders of their costs is essential. Only in the reverse market, as the market futures on spot and short-term urgent needs, buyers are willing to bear and absorb all the cost of ownership only; in reverse on the market, as time progresses, the spot price and the stock index futures price as In the forward market, as will be gradually closer to convergence, to the convergence of the same delivery month.
In short, because the stock index futures price is the price of a future time, as time goes by, the stock index futures contracts expire, stock index futures prices will tend to be the spot delivery price. If the approaching expiration, the stock index futures prices and spot prices of stock more than spread transaction costs, the traders will inevitably seize the opportunity to arbitrage trading, so that stock index futures prices and spot prices become more consistent.
Stock index futures prices and spot prices are converging, but before the convergence, there is a time lag. Stock index futures and stock index spot price refers to the time difference is a stock index futures and spot price changes over time are not synchronized phenomenon. Generally speaking, the stock index futures price changes in advance of the spot price changes.
This phenomenon the following reasons:
(1) small-cap stocks trading less.
(2) the high cost of spot market transactions.
(3) a lower futures margin.
In short, in addition to futures price movements ahead of time outside itself, from low-cost and high efficiency futures determined by the full nature of futures trading is also the stock index futures and spot prices of the reasons for the formation of the time difference.
