What is stock index futures SPIF?
The full name of stock index futures is: stock index futures.
The full name of stock index futures is stock price index futures, which can also be called stock index futures and futures index. It refers to the standardized futures contract with the stock index as the subject matter. The two sides agreed that on a specific date in the future, they can buy and sell the underlying index according to the size of the stock index determined in advance. As a type of futures trading, stock index futures trading has basically the same characteristics and processes as ordinary commodity futures trading.
Basic characteristics of stock index futures
1. Stock index futures have the same characteristics as 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.
The Background and Development of Stock Index Futures
With the continuous expansion of the securities market and the growth of institutional investors, it is increasingly urgent to avoid unilateral huge fluctuations in the stock market. Both investors and theoretical workers are increasingly calling for the introduction of stock index futures to avoid systemic risks in the stock market, and decision-makers are also extremely concerned about this issue. So is the time ripe for China to launch stock index futures? What impact does the introduction of stock index futures have on the securities market? How to design China's stock index futures contract? Starting from this issue, this edition has specially set up a column "Research on Stock Index Futures" to discuss the above issues. Welcome people who are interested in stock index futures to participate in the discussion and make suggestions for promoting the research and development of stock index futures in China.
Like other futures trading varieties, stock index futures are also produced to meet the needs of the market to avoid price risks.
After World War II, the stock market of developed market economy countries represented by the United States has made rapid development, the number of listed stocks has been increasing, and the stock market value has expanded rapidly. Take NYSE as an example: 1980, its stock trading volume reached $374.9 billion, 3.93 times that of 1970; The average daily turnover was 44.9 million shares, which was 65.438+09.96 times of 65.438+0960. There are 33.7 billion listed shares with a market value of 65.438+02.430 billion US dollars, which are 65.438+085 times and 65.438+0960 times respectively. The rapid expansion of the stock market is also a process of changing the structure of the stock market: after World War II, institutional investors represented by trust and investment funds, pension funds and mutual funds have achieved rapid development, occupying an increasing proportion in the stock market and gradually occupying a dominant position. Institutional investors reduce risks by diversifying their portfolios, but the risk management of portfolio investment can only reduce and eliminate the unsystematic risks of stock prices, but not the systemic risks. With more and more stocks held by institutional investors, the need to avoid systemic price risks is becoming stronger and stronger.
The stock trading model is also developing and progressing. Take the United States as an example: the initial stock trading was aimed at a single stock. 1976 In order to facilitate retail transactions, NYSE introduced the designated trading cycle system (DOT for short), which directly linked the command room of exchange member units with the trading pool. Since then, the system has developed into a super designated trading cycle system (SDOT). For small trading orders with less than 2099 shares, the system guarantees to complete the transaction within three minutes and feedback the results to the customer. For large trading orders, although the system can not guarantee to complete the transaction within three minutes, it undoubtedly enjoys certain advantages and advantages in the transaction. Almost at the same time as the designated trading cycle system came into being, stock trading is no longer limited to trading a single stock, but can "package" multiple stocks and buy and sell multiple stocks at the same time with one trading order, that is, program trading (also often translated as program trading). There are always different opinions about the concept of procedural transaction. According to the reality, NYSE thinks that trading orders of stocks above 15 can be called program trading. It is generally believed that as a trading technology, procedural trading is a highly decentralized trading of a basket of stocks. The generation of trading signals, the determination of trading volume and the completion of trading are all completed with the support of computer technology, which is often related to arbitrage trading activities in derivatives market, portfolio investment insurance and changing the proportion of stock investment in portfolio. With the development of program trading, stock managers soon began to try to trade and manage "indexed portfolio". The characteristic of "indexed portfolio" is that the composition and proportion of stocks are exactly the same as the stock index, so its price changes are exactly the same as the stock index, so its price risk is purely systematic risk. Based on the practice of "indexed portfolio" trading, it is logical to develop stock index futures contracts to meet the needs of avoiding the systemic risk of stock prices.
Seeing the market demand, after in-depth research and analysis, Kansas City Stock Exchange submitted a stock index futures trading report to the US Commodity Futures Trading Commission in June 1977+ 10. However, due to the dispute between the Commodity Futures Trading Commission and the Securities and Exchange Commission on the jurisdiction of stock index futures trading, and the failure of the exchange to reach an agreement on the use of the Dow Jones stock index, the report has been delayed. Until 198 1, Philip M. Johnson, the new chairman of the Commodity Futures Trading Commission, and John Friedrich Hirth, the new chairman of the Securities and Exchange Commission, came to a conclusion: "Is Friedrich Hirth ashamed?" Hey? /FONT & gt； It is clear that the jurisdiction of stock index futures contracts belongs to the Commodity Futures Trading Commission, which clears the obstacles for the listing of stock index futures.
On February1982 16, the Kansas city stock exchange's report on stock index futures was finally approved. On the 24th, the exchange started the trading of Dow Jones Composite Index futures contracts. The trading was very active as soon as it opened, and nearly 1800 lots were sold that day. Since then, on April 2 1 day, Zhijiage Commercial Exchange launched S & P500 stock index futures trading, and the trading volume reached 3963 that day. Japan, Hong Kong, London, Singapore and other places have also started stock index futures trading, and stock index futures trading has since embarked on the road of vigorous development. At present, stock index futures have developed into one of the most active futures varieties, and stock index futures trading is also known as "the most exciting financial innovation" in the 1980s.
(A) the emergence of the futures market and financial futures
The development history of the futures market can be pushed forward to Japan in the 6th century/kloc-0, but it was not until the Chicago Board of Trade (CBOT) was formally established in 1848 that futures trading entered an organized era. In fact, the original Chicago Board of Trade was not a market, but a naturally formed chamber of commerce to promote the industrial and commercial development of Chicago. It was not until 185 1 that the Chicago Board of Trade introduced forward contracts. Because the grain transportation at that time was very unreliable and the ship flights were irregular, it took a long time for the supply and demand information of the eastern United States and Europe to reach Chicago, and the food price fluctuated greatly. In this case, farmers can use forward contracts to protect their own interests and avoid losses caused by falling prices or insufficient demand when transporting food to Chicago. At the same time, processors and exporters can also use forward contracts to reduce the risk of rising processing costs caused by various reasons and protect their own interests. Because the initial and most important function of futures exchange is to provide a place for the risk transfer of spot price, we can see the evolution of economic structure in various times from the contracts of futures trading.
In the history of futures market 150 years, the most important milestone is 1972. 19 On May 6th, CME (Chicago Mercantile Exchange) and IMM (International Money Market) launched foreign currency futures, which marked the birth of a new kind of futures-financial futures, and thus set off the golden age of futures market development. 1975 10 In June, the Chicago Board of Trade launched the first interest rate futures contract, namely the mortgage certificate futures trading of the National Mortgage Association (GNMA). In February, 1982, KCBT launched the value line composite index futures trading. In just ten years, interest rate futures and stock index futures have come out one after another, which indicates that the pattern of three categories of financial futures has been formed. Due to the participation of financial futures, the futures market has also undergone structural changes. From 65438 to 0995, the trading volume of financial futures has always accounted for about 80% of the total trading volume in the futures market (see the table below), and has always maintained a mainstream position in the futures market. In addition, the birth of financial futures has given countries and regions outside the United States the opportunity to develop futures markets. Since 1980, these countries and regions have established their own futures exchanges. By 1993, the trading volume of futures exchanges in these countries or regions has surpassed that of the United States, and the growth rate is extremely alarming.
(B) The emergence of stock index futures (1970s)
Like foreign exchange futures, interest rate futures and other commodity futures, stock index futures are also produced to meet people's needs to avoid risks, and are specially designed for people to manage price risks in the stock market.
According to the modern portfolio theory, the risks in the stock market can be divided into systematic risks and non-systematic risks. Systematic risk is determined by macro factors, and it takes a long time and involves a wide range, so it is difficult to avoid it by diversifying investment, so it is called uncontrollable risk. Unsystematic risk is the risk that occurs for a specific stock (or a listed company that issues the stock), and has nothing to do with the whole market. Investors can usually avoid this risk through portfolio. Therefore, non-systematic risk is also called controllable risk. Although portfolio can reduce unsystematic risks to a great extent, when the whole market environment or some global factors change, that is, when systemic risks occur, the market prices of various stocks will change in the same direction. Obviously, the diversification of the stock market alone cannot avoid the risk of overall price changes. In order to avoid or reduce the impact of this so-called uncontrollable risk, people are inspired by commodity futures hedging and design a new financial investment tool-jujube stock index futures.
The essence of stock index futures trading is the process that investors transfer their expected risk of the whole stock market price index to the futures market, and offset the risk of the stock market by judging the stock trend of different investors. Because the object of stock index futures trading is the stock index, the change of stock index is the standard, and cash settlement is the settlement method. There are no real stocks on both sides of the transaction, only stock index futures contracts are traded.
In the 1970s, affected by the oil crisis, the economic development of western countries was very unstable, and interest rates fluctuated greatly, which led to large fluctuations in stock market prices. Stock investors urgently need a financial tool that can effectively avoid risks and protect assets. As a result, stock index futures came into being. Its rise, on the one hand, provides an effective tool for investors who own and will buy and sell stocks, on the other hand, it also gives futures speculators the opportunity to speculate, making stock index futures quickly favored by different investors.
(III) Portfolio Substitution and Arbitrage Tools (1982-1985)
Three years after the Kansas Futures Exchange introduced the value-line composite index futures, investors gradually changed the traditional way of entering and leaving the stock market, that is, choosing a stock or a group of stocks, and other investment methods were born, including: first, the birth of composite index funds, that is, investors can buy stock index futures and government bonds at the same time, achieving the same effect of buying component index stock portfolios; Second, use index arbitrage () to gain almost risk-free profits. This is because the market efficiency of stock index futures is low in the first few years, and there is often a big difference between spot and futures prices. For professional investors with high trading technology, they can get almost risk-free income by trading stocks and stock futures at the same time.
(4) Dynamic trading tools (1986-1989)
After several years of trading, the market efficiency of stock index futures has gradually improved and its operation is relatively normal, and it has gradually evolved into a handy tool for implementing dynamic trading strategies, mainly including the following two aspects. First, through dynamic hedging technology, portfolio insurance is realized, that is, stock index futures are used to protect the falling price risk of stock portfolio; Second, positioning strategic assets. The futures market has the characteristics of high liquidity, low transaction cost and high market efficiency, which just meets the objective needs of global financial internationalization and liberalization. Especially in recent ten years, under the impact of the rapid flow of information and capital and the progress of computer and communication technology, how to quickly adjust the asset portfolio has become a subject that emerging enterprises and investment funds all over the world must face. Innovative financial instruments such as stock index futures provide a way to solve this problem.
(5) Stagnation period of stock index futures (1988-1990)
1987 10 6 19, the US Wall Street stock market plunged nearly 25% in a single day, which triggered the financial storm that caused the global stock market to plummet, namely "Black Friday". Although it has been more than ten years, there are different opinions on how to cause panic selling. Stock index futures was once considered as one of the "culprits", which made the development of stock index futures enter a stagnation period after the stock market crash. Even the Brady Report can't prove that futures trading is the cause of panic selling. In fact, more research reports point out that stock index futures trading has not significantly increased the volatility of stock market prices.
In order to prevent the stock market price from falling sharply, various stock exchanges and futures exchanges have taken a number of restrictive measures. For example, the new york Stock Exchange stipulates that when the Dow Jones Industrial Average rises or falls by more than 50 points, the formal procedure trading is restricted. The futures exchange has set limits on the price of stock index futures contracts in order to cool down the panic or overheating when the market is abnormal. These measures played an extremely important role in the "small crash" of the New York Stock Exchange in June 5438+0989+ 10, and there was no bad record of stock index futures since then, which also laid the foundation for the more prosperity of stock index futures in the 1990s.
(VI) The stage of vigorous development (1990 till now)
Since 1990s, the controversy over the application of stock index futures has gradually disappeared, and investors' investment behavior has become more rational. Developed countries and some developing countries have successively launched stock index futures trading. With the improvement of the internationalization of global financial markets, the application of stock index futures is more common.
The development of stock index futures has also caused innovations in other non-stock index futures, such as commodity price index futures contracts with consumer price index as the target, air pollution futures contracts with air sulfur dioxide emissions as the target, electricity futures contracts with electricity price as the target, and so on. It can be predicted that with the in-depth development of financial futures, these non-physical delivery index futures contract transactions will have broader development prospects.