Category: Money tips Release Date: 2006-03-29
1. Stock index futures price discovery in order to focus on competitive bidding by rubbing together produce the next month of a different expiration of stock index futures contract prices reflect the future direction of the stock market's expectations. At the same time, a large number of empirical studies have shown that stock index futures prices first at the spot price, which helps to improve the spot market price of the stock information content. In addition, because of high leverage in futures contracts, transaction cost, liquidity and strong features, from the trading system to ensure the instantaneous value of the information will quickly be reflected in the futures prices.
2. Hedge the risk of stock investments in the non-systematic risk through diversification of investments can be eliminated, but the systematic risk can not evade. Stock index futures provide a way to hedge the risk of the stock market system, through the spot and futures market, hedging operations, so that the spot and futures markets, gains (losses) cancel each other to achieve lock-in costs and to ensure that the purpose of profit, which is a set of stock index futures hedge period. Of stock index futures to hedge the systematic risk of those shares transferred to the speculators; but preserving the value of stock index futures and stock prices can not be completely locked, after the assets after the stock index futures hedge is likely to also face some non-systemic risk. Hedging theory, the core issue is the determination of the optimal hedge ratio, that is a unit of spot position in the risk of exposure to the required number of futures contracts.
3. Arbitrage theory, due to stock index futures and the spot has the same subject, so the two should have the same prices. However, the actual price of the two markets often produce some bias, and thus give rise to arbitrage opportunities between the two markets. When the stock index and stock index futures arbitrage between the price deviation is greater than the transaction costs, there will be programmed index futures arbitrage trading, thereby suppressing the two cities between the price of the excessive volatility. Stock index futures varieties with a variety of securities arbitrage transactions, including stock and stock index futures, stock index futures and arbitrage between the ETF and stock index futures contracts of different intertemporal arbitrage between the inter-municipal arbitrage and expiration date set Lee.
4. Asset allocation portfolio to facilitate distribution of the proportion of various types of assets. Through the trading of stock index futures to adjust the portfolio in various types of assets (stocks, bonds, etc.) share, with the market impact of low cost, low capital cost advantages.
Adjust the portfolio value. Through the trading of stock index futures to adjust the value of the portfolio, but do not need to trade stocks or non-risk assets, but also to overcome the difficulty of investors in accordance with risk-free interest rate loan funds.
Cash securitization. Bodies are sometimes in the future there will be cash flow. Purchase the equivalent of future new capital inflows index futures, the first small amount of cash flows to invest in short-term bonds until after the major inflow of capital, then invest directly in a series of stock, and futures open interest.
To cope with uncertain cash redemption. Fund may use stock index futures on the two ways: in the former may be expected to face large redemption, the use of some of the cash to invest in index futures long, to use its leverage to obtain higher returns stocks and the remaining cash can be used to meet cash redemptions. Second, the fund redemption price calculated in accordance with the day's closing price, the actual capital expenditure in a few days. Funds actually received by the redemption of a single, may invest in stock index futures short to hedge the stock sold during this period caused by the risk of price declines.
Synthesis of specific types of funds. Synthesis of Alpha fund. Alpha Fund is the fund by selling stock index futures contracts, the portfolio value decreased to 0, which combined rate of return equal to risk-free rate plus the benefits due to stock picking.
Synthetic index funds. Compared with the index fund, using stock index futures index based investments, can be avoided most of the transaction costs and tracking error; and its short duration and highly mobile, there is help investors quickly and flexibly adjust and optimize its capital structure . In addition, the existing system, the stock rose daily limit, causing the stock to rise daily limit price, the corresponding index funds can not be trading stocks, while the stock index futures can hedge the risk accordingly.
Development Capital Preservation Fund. Short index futures provided a mechanism for the Capital Preservation Fund of hedge systematic risk, to ensure low-risk insurance offers the possibility of the return. The introduction of stock index futures, would be greater space for the Capital Preservation Fund.
