Category: Money tips Release Date: 2006-02-18
As China's financial futures markets, the first product of the Shanghai and Shenzhen 300 index futures contracts will soon launch, which is of great significance to China's capital market. For the stock market (stock index futures, spot market), the general stock index futures will provide investors with a powerful tool for hedging systemic risk, thereby changing the investors share the broader market fell helpless situation. For the futures market, stock index futures will enhance the overall level of China's futures market and industry competitiveness. The introduction of stock index futures, China's futures market as an important sector of the financial market positioning will be truly implemented, a significant expansion of market participants and a large inflow of funds futures market will bring a rare opportunity for development.
Innovation from the market point of view, for stock index futures broker, futures firms, funds and other institutional investors to provide financial innovative tools to make these institutions can follow the theoretical framework of financial engineering to explore new profit model. Stock index futures arbitrage trading is a new profit model worth studying. Stock-index futures stock index futures arbitrage trading undertaken the restoration of the distorted relationship between the market price to curb excessive speculation and enhance market liquidity, all have an important role. The world's sophisticated financial futures markets, arbitrage and hedging, speculation, like the market is an important component. For example, between 1995 and 2005, China's Hong Kong stock index futures trading 10? Yan 64% came from the carry trade. United States, Britain and other major futures markets, the carry trade has also played a very important position.
First, stock index futures arbitrage trading model
Stock Index Futures Arbitrage refers to the use of stock index futures market, there is an unreasonable price, at the same time participate in the stock index futures and spot market transactions, or at the same time in different time, different (but similar) Category stock index contract transactions in order to earn the difference behavior.
Stock index futures contract price from the spot index price plus cost of ownership structure, by compound interest calculation, the formula is:
F = Se (rd) (Tt)
Where, F is the futures price, S is the spot index price. Holding costs are mainly capital costs, annual interest rates from capital r, stock dividend yield d and the holding time (Tt) to determine.
Stock index futures arbitrage transaction is subject to different markets involved can be divided into two broad categories: one category is the same stock index futures arbitrage between the equity portfolio, also known as the current period of arbitrage; the other is a different time, different (but similar) type of arbitrage between the stock index contract can be divided into inter-temporal arbitrage, municipal arbitrage and cross-species cross-arbitrage.
Shanghai and Shenzhen 300 index futures market at the beginning, according to the current market environment, will be mainly with a view to the current and intertemporal arbitrage arbitrage arbitrage as the main method.
Second, stock index futures arbitrage and commodity arbitrage Comparison
Overall, the stock index futures arbitrage and commodities futures arbitrage is a type of arbitrage trading, its principles are the relationship between the market price in an abnormal state of bilateral trade to obtain the low-risk spreads.
Stock-index futures arbitrage and commodities futures arbitrage the differences in specific categories
Stock-index futures arbitrage and commodities futures arbitrage is the main difference between the different properties of the underlying futures contract. Commodity futures contracts is the subject of tangible goods and tangible goods on the goods involved in the specification, performance, grade, durability, as well as warehousing, transportation and delivery, etc., which would carry a significant impact. Is the subject of stock index futures stock index, the index is just an intangible concept, there is no limitations of physical goods, while delivery of stock index futures generally use the cash settlement, and therefore have a delivery and carry on a great convenience. In addition, the stock index futures because of irregular dividend stocks, financing costs, as well as the spot index of different designs and other reasons, its theoretical price is relatively more difficult to accurately pricing in commodity futures. These differences are caused by stock-index futures arbitrage and commodities futures arbitrage differences in specific categories, the main reason. Index futures arbitrage and commodities futures arbitrage differences in specific categories in the table below.
Third, the risk of stock index futures arbitrage trading point analysis
One of the features is that risk arbitrage is relatively low, but low risk does not mean no risk. Stock index futures arbitrage there are corresponding risks. Shanghai and Shenzhen 300 Index futures as China's futures market straighten the first since the listing of financial futures products, the success of its operation will be the development of China's financial futures markets have far-reaching impact. Therefore, the strengthening of the risk index futures research is very important.
Through comparison of the carry trade commodity futures, index futures, the risk of the carry trade There are three main points:
1? Yan pricing of futures contracts
The price of stock index futures contracts for stock index futures arbitrage basis of judgment. However, the pricing of stock index futures contracts, the uncertainty, which will bring significant risk arbitrage trading.
Now it seems that the pricing of risk in Shanghai and Shenzhen 300 index came mainly from two aspects:
First, run the cash index there is instability. First, the share-trading reform has not yet completed, share-trading index for the Shanghai and Shenzhen 300 Index has not yet reflect the impact. Secondly, this year, the stock market continued expansion, the Bank of China and other large-cap stocks have market, there will be follow-up to ICBC and other large capitalization stocks listed. Early in July, the Shanghai and Shenzhen 300 Index constituent stocks of the choice has launched a large-cap stocks into the index constituent stocks of fast-adjustment system. All these will result in the operation of the Shanghai and Shenzhen 300 Index there is instability.
Second, the payout uncertainty. Related empirical studies have shown that, China's listed companies are not inclined to disburse the cash dividend, and the uneven distribution of dividend payment frequency of the time. This will cause a stock dividend rate of instability. Apart from the above two points, there is also financing rates vary and the tax system the risk of uncertainty.
2? Yan stock index or a combination of the sale of
Of stock index futures arbitrage often involves the trading of stock index or portfolio. For the Shanghai and Shenzhen 300 Index, the constituent stocks of as many as 300 species, all the constituent stocks of liquidity there are differences, therefore, at the same time to complete the spot index, the existence Jiancang difficult. If you are using with the Shanghai and Shenzhen 300 index-linked stock portfolio, then these combinations with the Shanghai and Shenzhen 300 Index is a stable correlation also an issue.
Of course, there are currently on the market tracking index funds, such as Harvest in Shanghai and Shenzhen 300 index funds, such a stock index fund alternative theory is feasible. However, this method is more complex in operation, and the use of index-tracking funds are still liquidity risk, Harvest day in Shanghai and Shenzhen 300 Index is currently trading volume was very low. The lack of liquidity of the carry trade will have fatal risks.
3? Yan policy environment
At present, the outside have the Hong Kong Stock Exchange, Chicago Board Options Exchange, the Brunei International Exchange have launched a China stock index futures products, the Singapore Exchange (SGX) announced that it will launch this month, FTSE Xinhua China A50 index futures. After listing in Shanghai and Shenzhen 300 index, these index products will provide a lot of cross-market arbitrage and cross-species arbitrage opportunities.
For the stock index futures arbitrage and cross-species cross-market arbitrage, the policy environment is the most difficult to control risks. Policy risks mainly from three aspects:
First, exchange rate risk. China's foreign exchange policy, the market trend is increasingly clear, the world's major currencies with the yuan exchange rate volatility increases. To avoid exchange rate risk can not effectively will directly lead to the failure of the carry trade.
The second is liquidity risk. At present, China for the capital projects not yet under the liberalization of capital flows. The arbitrage will inevitably involve the flow of funds between the two markets, if not an effective solution to this problem will lead to arbitrage the two markets have had to put aside enough money in order to prevent the situation of short-term price risks, which will lead to sets of Lee greatly reduced efficiency in the use of funds.
Third, stock index futures products in different markets in the internal economic policy risks. Each country has its own economic policies, the implementation of different economic policies in the short period of time to stock index futures arbitrage position of a unilateral enormous risks. How to deal with this risk is the ability for investors judged the great challenges of the market.
