Standard & Poor's 500 Index was compiled by Standard & Poor's Company in 1957. The initial constituent stocks include 425 industrial stocks, 15 railway stocks and 60 public utility stocks. From July 1 9761,its constituent stocks were changed to 400 industrial stocks, 20 transportation stocks, 40 public utilities stocks and 40 financial stocks. It takes 194 1 year to 1942 as the base period, and the index of the base period is set to 10, which is calculated by the weighted average method, with the listed amount of the stock as the weight, and the weighted calculation is carried out according to the base period. Compared with the Dow Jones Industrial Average, the Standard & Poor's 500 Index has the characteristics of wide sampling area, strong representativeness, high accuracy and good continuity, and is generally regarded as the ideal target of stock index futures contracts.
Dow Jones average price index
Dow Jones average price index (Dow Jones average price index for short) is the most familiar, oldest and authoritative stock index at present. Its base period is 1928, 10, and its base period index is 100. The calculation method of Dow Jones stock index has been adjusted many times, and now it adopts the divisor correction method, that is, it does not directly divide the stock index in the base period, but calculates a new divisor according to the changes of constituent stocks, and then divides the total stock price in the reporting period by this divisor to get a new stock index. At present, the Dow Jones Industrial Average stock index is divided into four categories: the first category is the industrial average, which consists of 30 stocks representing large industrial companies; The second group is the stock price index of 20 railway companies in the transportation industry; The third group is 15 stock index of public utility companies; The fourth group is the composite index, which is calculated by adding up 65 stocks in the first three groups. People often say that the Dow Jones stock index usually refers to the first group, namely the Dow Jones Industrial Average.
Financial Times Stock Index
The Financial Times Stock Index is a stock index compiled by the London Stock Exchange and published in the Financial Times. According to the number of sample stocks, the Financial Times stock index is divided into 30 stock indexes, 100 stock indexes and 500 stock indexes. At present, the Financial Times Industrial Common Stock Index is commonly used, and its constituent stocks are composed of 30 representative industrial companies. At first, the base period was 65438+July, 0935, and later it was adjusted to 65438+April 10, and the base period index was 100, which was calculated by geometric average method. As the target of stock index futures contract, Financial Times Index is an index based on 100 stocks in day trading, with base periods of 1.984, 1.3 and base period index of 1.000.
Nikkei stock average index
The compilation of the Nikkei average index began at 1949, which consists of the prices of 225 stocks listed in the first group of Tokyo Stock Exchange. The index is calculated and managed by NKS, which has been disseminated through major international price reporting media and widely used as a reference to represent the Japanese stock market.
1In September, 1986, Singapore International Finance Exchange (SIMEX) launched the Nikkei 225 stock index futures, which became a major historical milestone. Since then, the trading of Nikkei 225 stock index futures and options has also become an integral part of the investment strategy of many Japanese securities companies.
Hong kong hang seng index
Hang Seng Index is a stock index compiled by Hang Seng Bank of Hong Kong on June 24th 1969, 165438+ to reflect the Hong Kong stock market. The index consists of 33 representative companies listed in Hong Kong, including 4 in finance, 6 in public utilities, 9 in real estate and 0/4 in other industries. At first, the Hang Seng Index was based on 65438+1July 3, 9641,and the benchmark index was 100. The weighted average method is used to calculate the number of issued shares of constituent stocks. Later, due to technical reasons, the base period of 10/3 was changed to 65438+65438, and the base period index was set at 975.47. Hang Seng Index has become a major indicator of Hong Kong's political, economic and social situation. Edit this section | Back to the top basic function 1. Common characteristics of stock index futures with other financial futures and commodity futures.
Contract standardization. The standardization of futures contracts means that all the terms of futures contracts except the price are predetermined and have the characteristics of standardization. Futures trading is conducted by buying and selling standardized futures contracts.
Centralized trading. The futures market is a highly organized market, with strict management system, and futures trading is completed centrally in the futures exchange.
Hedging mechanism. Futures trading can end the performance responsibility through reverse hedging operation.
Daily debt-free settlement system. After the daily trading, the Exchange will adjust the margin accounts of each member according to the settlement price of the day to reflect the profit or loss of investors. If the price changes in a direction that is not conducive to investors' positions, investors must add margin after daily settlement. If the margin is insufficient, the investor's position may be forced to close.
Leverage effect. Stock index futures use margin trading. Since the amount of margin to be paid is determined according to the market value of the traded index futures, the exchange will decide whether to add margin or withdraw the excess according to the change of market price.
2. The uniqueness of stock index futures.
The subject matter of stock index futures is a specific stock index, and the quotation unit is the index point.
The value of a contract is expressed by the product of a currency multiplier and the quotation of a stock index.
The delivery of stock index futures adopts cash delivery, and the position is settled in cash instead of stock delivery.
The difference between stock index futures and commodity futures trading
The target index is different. The subject matter of stock index futures is a specific stock price index, not a real target asset; The object of commodity futures trading is goods with physical form.
Different delivery methods. Stock index futures are delivered in cash, and positions are settled in cash by clearing the difference on the delivery date; On the other hand, commodity futures are delivered in kind and settled by the transfer of physical ownership on the delivery date.
The standardization degree of contract expiration date is different. The maturity date of stock index futures contracts is standardized, generally in March, June, September, 65438+February, etc. The maturity date of commodity futures contracts varies according to the characteristics of commodities.
The cost of holding is different. The holding cost of stock index futures is mainly financing cost, and there is no physical storage cost. The stock you hold sometimes pays dividends. If the dividend exceeds the financing cost, there will be holding income. The holding cost of commodity futures includes storage cost, transportation cost and financing cost. The holding cost of stock index futures is lower than that of commodity futures.
Speculation is different. Stock index futures are more sensitive to external factors than commodity futures, and the price fluctuates more frequently and violently, so stock index futures are more speculative than commodity futures. Edit this paragraph | Back to the top function Stock index futures have the function of price discovery. The futures market is extremely liquid because of its low margin and low transaction costs. Once there is information that affects everyone's expectations of the market, it will be quickly reflected in the futures market. And can be quickly transmitted to the spot market, so that the spot market price reaches equilibrium.
Stock index futures II has the function of risk transfer. The introduction of stock index futures provides a way for the market to hedge risks, and the risk transfer of futures is realized through hedging. If investors hold stocks related to stock indexes, they can sell stock index futures contracts in order to prevent losses caused by future declines, that is, when the short positions of stock index futures match the long positions of stocks, investors avoid the risk of total positions.
Stock index futures are beneficial for investors to rationally allocate assets. If investors only want to get the average return of the stock market, or are optimistic about a certain kind of stocks, such as technology stocks, if they all buy in the spot stock market, they will undoubtedly need a lot of money. However, if they buy stock index futures, they can track the market index or the corresponding technology stock index with only a small amount of money to achieve the purpose of sharing market profits. Moreover, stock index futures have a short term (usually three months) and strong liquidity, which is beneficial for investors to quickly change their asset structure and rationally allocate resources.
In addition, stock index futures provide new investment and speculative varieties for the market; Stock index futures also have arbitrage function. When the market price of stock index futures deviates greatly from its reasonable pricing, there will be arbitrage activities of stock index futures. The introduction of stock index futures also helps state-owned enterprises to directly raise funds in the securities market; Stock index futures can slow down the impact of fund cashing on the stock market.
Stock index futures provide a new means for risk management of securities investment. It changed the basic mode of stock investment from two aspects. On the one hand, investors have direct means of risk management, and portfolio risk can be controlled within the floating range through index futures. On the other hand, stock index futures ensure that investors can grasp the opportunity to enter the market in order to accurately implement their investment strategies. Take the fund as an example. When there is a short-term depression in the market, the fund can seize the opportunity to leave with the help of stock index futures without giving up the stocks to be invested for a long time. Similarly, when there is a new investment direction in the market, the fund can seize the opportunity and calmly choose individual stocks. It is precisely because the role of stock index futures in active risk management strategy is more and more accepted by the market that in the past twenty years, stock exchanges all over the world have launched this trading variety for investors to choose from.
The function of stock index futures can be summarized as four points. 1. Avoid system risks. 2. An active stock market. 3. Diversify investment risks. 4. You can hedge.
Compared with stocks traded in the stock index, stock index futures have important advantages, mainly in the following aspects:
1. Provide convenient short selling.
A prerequisite for short selling is that you must borrow a certain number of shares from others first. There are no strict conditions for short selling abroad, which makes it difficult for all investors to complete short selling in the financial market. For example, in Britain, only securities market makers can borrow British stocks; American Securities and Exchange Commission rule 10A- 1 stipulates that investors must borrow shares through securities brokers and pay a certain amount of related fees. Therefore, short selling is not suitable for everyone. The trading of index futures is not like this. In fact, more than half of index futures trading includes short selling positions.
2. The transaction cost is low.
Compared with spot trading, the cost of stock index futures trading is quite low. The cost of index futures trading includes: trading commission, bid-ask spread, opportunity cost of paying margin and possible tax. For example, in Britain, futures contracts do not need to pay stamp duty, and buying index futures only needs one transaction, while buying a variety of stocks (such as 100 or 500) needs multiple transactions, with high transaction costs. In the United States, a futures transaction (including the complete transaction of opening and closing positions) only charges about $30. Some people think that the transaction cost of stock index futures is only one tenth of the stock transaction cost.
3. Higher leverage ratio
In Britain, a futures trading account with an initial margin of only 2,500 pounds, the trading volume of the Financial Times 100 index futures can reach 70,000 pounds, and the leverage ratio is 28: 1. Because the amount of margin payment is determined according to the market value of the index futures traded, the exchange will decide whether to add margin or withdraw excess according to the price change of the market.
This market is highly liquid.
Research shows that the liquidity of stock index futures market is obviously higher than that of spot stock market. For example, 199 1, the trading volume of FTSE-100 index futures has reached 85 billion pounds.
Judging from the development of foreign stock index futures market, the investors who use stock index futures the most are the investment managers of various funds (such as mutual funds, pension funds and insurance funds). In addition, other market participants mainly include underwriters, market makers and stock issuing companies. Edit this paragraph | Back to the top pricing principle There is a basic law in economics called "law of one price". This means that two identical assets must be quoted at the same price in two markets, otherwise a market participant can carry out so-called risk-free arbitrage, that is, buy at a low price in one market and sell at a high price in the other market. Eventually, due to the increase in demand for the asset, the price of the asset in the original low-priced market will rise, while the price of the asset in the original high-priced market will fall until the last two quotations are equal. Therefore, supply and demand forces will produce a fair and competitive price, so that arbitrageurs cannot obtain risk-free profits.
Here is a brief introduction to the position cost pricing model of forward and futures prices. The model has the following assumptions:
Futures and forward contracts are the same;
The corresponding assets are separable, that is, the stock can be zero shares or scores;
Cash dividend is fixed;
The interest rates of borrowed and lent funds are the same and known;
Short selling spot is not limited, and you can get the corresponding money immediately;
No taxes and transaction costs;
Spot price is known;
The corresponding spot assets have sufficient liquidity.
This pricing model is based on the assumption that futures contracts are temporary substitutes for future transactions of spot assets. Futures contracts are not physical assets, but agreements between buyers and sellers. The two sides agreed to conduct spot transactions later, so there was no money to change hands at the beginning of the agreement. The seller of a futures contract can't deliver the corresponding spot to get cash until the later stage, so it must be compensated to make up for the income brought by the spot funds that it gave up because of holding the corresponding spot. On the contrary, the buyer of the futures contract will pay cash to settle the spot at a later stage and must pay the cost of delaying the spot payment by using the capital position, so the futures price must be higher than the spot price to reflect these financing or position costs (this financing cost is generally expressed by the risk-free interest rate in this period).
Futures price = spot price+financing cost
If the corresponding asset is a stock portfolio that pays cash dividends, then the party who buys the futures contract does not receive dividends because it does not immediately hold the stock portfolio. On the contrary, mz sellers get dividends because they hold the corresponding stock portfolio, thus reducing their position cost. Therefore, futures prices should be adjusted downward by the amount equivalent to dividends. Results The futures price is a function of the net position cost, that is, the financing cost minus the corresponding asset income. That is:
Futures price = spot price+financing cost-dividend income
Generally speaking, when the financing cost and dividend income are expressed by continuous compound interest, the pricing formula of index futures is:
F=Se(r-q)(T-t)
These include:
F= the value of the futures contract at time t;
S= the value of the underlying assets of the futures contract at time t;
An investment due at time r = t is a risk-free interest rate calculated by continuous compound interest (%);
Q= dividend yield, calculated by continuous compound interest (%);
T= expiration time of futures contract (year)
T= current time (year)
Consider a three-month S&P 500 futures contract. Assuming that the dividend yield of the stock used to calculate the index is converted into continuous compound interest of 3% per year, the present value of the S&P 500 index is 400, and the risk-free interest rate of continuous compound interest is 8% per year. Where r=0.08, S=400, T-t=0.25, q=0.03, and the futures price f is:
F=400e(0.05)(0.25)=405.03
We call this equilibrium futures price the theoretical futures price. In practice, it may deviate from the theoretical price, because the conditions assumed by the model cannot be fully met. However, if these factors are taken into account, empirical analysis proves that there is no significant difference between the actual futures price and the theoretical futures price. Edit this paragraph | Back to the top Stock shorting mechanism and stock index futures stock shorting mechanism have a long history in developed markets such as the United States. If investors are bearish on a stock, they can borrow it from others through stockbrokers and sell it in the market, hoping to buy it back after the stock price falls to earn the difference. Obviously, the short selling mechanism is actually equivalent to the introduction of stock futures trading, and the risk management is much more difficult. Therefore, many countries and regions are cautious about this, and I believe that China will not introduce short selling mechanism for some time. Some experts worry that once stock index futures start trading in China, the lack of short-selling mechanism will lead to the continuous deviation between stock index futures and stock index prices, resulting in manipulation.
In theory, this kind of worry is not unreasonable. The reasonable price of stock index futures and the price of stock index futures should be kept within the definition of arbitrage theory. Once the two prices deviate from this range, arbitrageurs can enter the market for risk-free (or low-risk) arbitrage transactions. For example, when the stock index futures are higher than the reasonable price, the arbitrageur can sell the futures, buy the corresponding number of constituent stocks according to the composition ratio of the index, and settle the futures on the maturity date to obtain arbitrage profits. When this arbitrage is unprofitable, the price of stock index futures has been pulled back to a reasonable range, which reflects the market efficiency. On the other hand, when the stock index futures are lower than the reasonable price, arbitrage trading requires buying futures and shorting the index stocks in proportion. Obviously, the lack of short-selling mechanism will make this arbitrage transaction impossible, and the futures price may remain low for a long time.
In practice, according to the arbitrage pricing theory of stock index futures, buying stock index futures at a reasonable price and then buying short-term bonds (or depositing them in banks) is equivalent to buying index funds. Therefore, if the price of stock index futures is lower than a reasonable level, index funds can sell index stocks in proportion and convert their funds into short-term bonds. At the same time, they can buy futures with a corresponding amount, and their comprehensive income will outperform the index, but the risks are the same. This risk-free arbitrage is obviously attractive to index funds. Although open-end funds are not index funds, the stocks they hold are often large-cap blue-chip stocks, so they have a high correlation with the index. Open-end funds can also use this trading strategy for arbitrage.
At present, there are index funds in domestic closed-end funds, and the return in the past year is very considerable. Open-end funds will also be launched before stock index futures. Therefore, when stock index futures are launched, there will be no shortage of arbitrage investors in the market, so there will be no long-term price distortion.