Live gold stocks to eighteenth point of China's stock market index futures approaching the upcoming 5800

 China's stock market recently approaching 5800 points, Lao Yang's original judge China's stock market fell in theory have lost all meaning, the beginning of October when the golden October, the market is the old Yang sustainability issues to consider. Upon my honor old people Yang recently purchased a large number of stocks, but mainly new stock-based, why Lao Yang to buy new shares, this is not a word can say so. At present Lao Yang's stake positions in more than 80% Breakthrough in the Chinese stock markets, while high, can not fail to surprise old Yang China's stock market continued appreciation of the yuan during the strong bull market. But the rises in the course of the Old Yang found that nearly 80% of the shares and no significant rise situation, China's stock market appears again present Futures time is approaching, suggest that investors should always pay attention to risk. Because the majority of friends the meaning of the Chinese stock index futures is no clear meaning, old Yang diary in this presentation we will look at China's stock market index futures theoretical significance, (reference number of referenced theory). What is the full name of stock index futures stock index futures price index futures, also known as stock index futures, index futures, stock index refers to the standardization of futures contracts the subject matter, both sides agreed in the future a specific date, in accordance with a predetermined size of the stock price index, the trading of the underlying index. as a type of futures, stock index futures and commodity futures with the same general features and processes. The basic features of stock index futures 1. stock index futures and other financial futures, commodity futures contracts standardized common characteristics. futures contract is defined in the standardization of prices, the futures contract terms are predetermined for all good, with standard features. Futures trading of standardized futures by contract. trading centralized. futures market is a highly organized market and a strict management system, centralized within the Futures Exchange Futures complete. hedging mechanism. futures hedging by the end of the reverse performance obligations. Daily No debt settlement system. day after the close of trading, the Exchange under the daily settlement price for each member of the margin account is adjusted to reflect the investor's profit or loss. If the price is not conducive to the direction of change in investors hold positions , daily settlement, the investors have to margin calls, if the margin call, investors, positions can be liquidated. leverage effect. stock index futures trading using margin. Since the need to pay the deposit amount is based on the trading of index futures to determine the market value, the exchange will be based on market price changes, or whether to decide whether a margin excess can be extracted. 2.'s own unique characteristics of stock index futures stock index futures for a particular subject matter of stock indices, quotes units index point total. contract to a certain monetary value of the multiplier and the stock index to represent the product offer. a cash settlement of stock index futures settlement, not through the delivery of the stock but by the difference in cash to settle the balance sheet positions. stock index futures and commodity futures the difference between trading the underlying index are different. the subject matter of stock index futures stock index for the specific, not the real underlying assets; and the object is a commodity futures trading of goods in kind. delivery in different ways. a cash settlement of stock index futures, the delivery date spread through the settlement with cash to close out their positions; and commodity futures with physical delivery, the delivery date of transfer of ownership through the physical liquidation. contracts with different maturity degree of standardization. stock index futures contracts are standardized due date, the general maturity at 3 months, 6 months, 9 months and 12 months, such as several; and the maturity commodity futures contracts based on product characteristics vary. holding costs are different. holding cost of stock index futures is mainly the cost of financing in kind does not exist storage costs, sometimes there are dividend shares held, if the dividend exceeds the cost of financing would generate holding gains; and holding costs, including commodity futures storage costs, transportation costs, financing costs. stock index futures lower cost of ownership commodity futures. speculative properties are different. Index Futures on the response to external factors more sensitive than commodity futures, price fluctuations are more frequent and intense, which stock index futures commodity futures have more than speculative. stock index futures background and development With the stock market continues to expand the scale and the growth of institutional investors, the market to avoid the risk of stock market ups and downs of unilateral giant increasingly urgent requirements, whether investors or theoretical workers, on the introduction of stock index futures to hedge the systemic risk voices are increasingly high, decision-making is also very concerned about this issue. So the timing of the current maturity of Stock Index Futures? index futures on the stock market impact? how to design China's stock index futures contracts? from this issue since opening special edition species, like stock index futures also meet the needs of the market to avoid price risk arising. World War II, the United States as the representative of the developed market economies achieved rapid development of stock markets, the increasing number of listed stocks, the stock market rapidly. the New York Stock Exchange as an example: the stock exchange in 1980 amounted to 374.9 billion U.S. dollars, 3.93 times in 1970; daily average turnover of 4490 million shares, 19.96 times in 1960; 33.7 billion shares of listed shares, worth 1.243 trillion U.S. dollars, respectively, 1960 5.185 times and 4.05 times. the process of rapid expansion of the stock market, but also the stock market is changing the structure of the process: After World War II, to trust and investment funds, pension funds, mutual funds, institutional investors represented by the rapid development achieved , they are in the stock market plays an increasingly large proportion, and gradually dominant. institutional investors through a diversified portfolio reduces risk, but the portfolio risk management can only reduce and eliminate non-systematic risk in stock prices , but can not eliminate systemic risk. With the stock held by institutional investors increasing their prices to avoid systemic risk requires more and more intense. Stock trading is continually progress and development. In the United States: the first Single-stock transaction is targeted .1976 stock, in order to facilitate retail trading, the New York Stock Exchange introduced a specific transaction cycle system (DOT), the system directly to the Exchange a single room the next member of the same transaction linked the pool. Since then the system has developed into a super cycle specific transaction system (SDOT) system, for less than 2099 shares of small orders, the system to ensure that transactions in three minutes and the results back to the customer, for large orders, although there is no guarantee that the system in three minutes to complete the transaction, there is no doubt in trading is entitled to certain benefits and advantages. the circulatory system with the specified transactions occur almost simultaneously is: not stock longer be traded only on a single stock, but can a wide range of stocks .) concept for the program trading, has always been a different story. New York Stock Exchange from the practical point of view, that more than 15 stock orders can be called program trading; the generally accepted view is, as a kinds of trading techniques, program trading is a highly diversified basket of stocks trading, the trading signal generation, the number of decisions and transactions to complete the transaction are completed under the support of computer technology, it is often associated with derivatives on the arbitrage trading activity, portfolio insurance, and portfolio equity investment to change the proportion of linked. With the development of program trading, stock managers soon began a ; index of the investment portfolio, in-depth research, analysis, in October 1977 to the U.S. Commodity Futures Trading Commission submitted the report to carry out stock index futures. but because of the Commodity Futures Trading Commission and Securities and Exchange Commission jurisdiction over stock index futures on the existence of a dispute, other transactions are also unable to use the road. Jones stock index reached an agreement late in the report was not adopted. until 1981, the new Commodity Futures Trading Commission, Xifei Li Po. M. Johnson, and the new Securities and Exchange Commission chairman John. XIA reached carried out by the report of stock index futures was finally allowed to pass through, 24, the exchange launched the Road. Jones Composite Index futures contracts trading. trading a very active opening day, nearly 1,800 contracts traded. Since then, April 21 , of Chicago Mercantile Exchange launched the S & P500 stock index futures, day trading volume reached 3963. Japan, Hong Kong, London and Singapore have also started the stock index futures, stock index futures was put on vigorous development. Currently, the stock index futures has developed into one of the most active futures, stock index futures also known as the twentieth century, the eighties the generation of financial futures futures markets to push forward the development of history to the sixteenth-century Japan, but until 1848 the United States Chicago Board of Trade (CBOT), when established, organized into the era of futures trading be considered. In fact, the original Chicago Board of Trade is not a market, just a Chicago to promote industrial and commercial development and the natural formation of trade associations. Until 1851, the Chicago Board of Trade before the introduction of forward contracts, owed much to transport the food was very reliable , ships, flights are also from time to time, came from the eastern United States and Europe, the supply and demand information, a long time to spread to Chicago, food price volatility is considerable. In this case, the farmer can use forward contracts to protect their interests, and transportation to Chicago to avoid falling prices or due to lack of demand and other causes losses. At the same time, processors and exporters can take advantage of forward contracts, for various reasons, to reduce processing costs caused by rising risks, protect their own interests . As the first and most important futures exchange function is to provide a place where the spot price risk transfer, therefore, from the futures contract to see the evolution of the economic structure of each era. in the futures market more than 150 years of history, the most an important milestone that is 16 May 1972, the Chicago Mercantile Exchange (CME) of the International Monetary Market (IMM) introduced foreign exchange futures contracts (Foreign Gurrency Futures), marking the financial futures of the birth of a new type of futures, the development of a futures market which started the golden age of .1975 in October, the United States launched the CBOT interest rate futures contracts, the first date the Government National Mortgage Association (GNMA) mortgage certificates in February futures .1982, Kansas Futures (KCBT) Value Line Composite Index futures launched. just ten years, the interest rate futures (Interest Rate Futures) and stock index futures (Stock Index Futures) one after another, marking the three categories of financial futures structure has been formed. financial futures futures markets to join the structural changes which occurred In 1995, the financial futures market, futures trading volume accounted for about 80% of the total turnover (see table below), stable futures market mainstream. In addition, financial Futures birth outside the United States national and regional development futures market timing. Since the beginning of 1980, these countries and regions have set up their own futures, to 1993, these countries or regions futures exchange turnover has than the United States, the growth rate is extremely alarming. (b) the generation of stock index futures (70 years) and currency futures, interest rate futures and other commodities, like stock index futures is also a response to the needs of people risk-averse generation, and is designed for people to stock market price risk management and design. According to modern portfolio theory, the risk of the stock market can be divided into systematic risk and non-systemic risk. Systemic risk is determined by the macro factors, the role of time long, covers a wide range of diversified investment approach is difficult to be adopted to avoid, so as not controllable risk. non-systematic risk is for a specific individual stocks (or the issuance of the shares of listed companies) and the risk, nothing to do with the whole market , investors usually the way the portfolio can take to avoid such risks, therefore, non-systematic risk, also known as controlled risk. investment portfolio even though it can largely reduce the non-systematic risk, but the overall market environment or some a change in the factors, that is a systemic risk, a variety of stock market price changes will be in the same direction, alone in the stock market diversification, apparently unable to avoid the risk of changes in the overall price. In order to avoid or minimize such The so-called non-controllable risks, people from hedging in commodity futures have been inspired to design a new type of financial investment instruments date stock index futures. stock index futures in essence, is the investor to the entire stock market price index the expected transfer of risk to the process of futures markets, trends in the stock held by investors buying and selling different judgments, to offset the risk of the stock market. Since the object is a stock index stock index futures, stock indices as the standard cash settlement as the only method of settlement are not real parties to the transaction of stocks, trading stock index futures contracts only. seventies of this century, Western countries affected by the oil crisis, economic development is very unstable and volatile interest rates, causing the stock market price volatility, stock investors urgently need a way to mitigate risk and achieve financial instruments hedging assets. So, the stock index futures came into being. Its rise, on the one hand to own stocks and shares to be purchased, or throw the investors with an effective tool to transfer risk, it also gives the opportunity for speculative futures speculators, making the stock index futures quickly the different investors. (c) alternative investment portfolio and arbitrage tools (1982 Year -1985) of the Futures Exchange from the Kansas Value Line Composite Index futures launched three years after the investors in the past and out of the stock market gradually changed the traditional way, that is, pick a stock or group of stocks, but also the birth of the other investment, include: first, the composite index funds (Synthetic Index Fund) was born, that is, investors can also buy the stock index futures and bonds the way, to buy the component index of the stock portfolio the same effect; second, the use of index sets Lee (Return Enhancement), almost no risk taking of the profits. This is due to launch stock index futures early years, the market less efficient, there are often between spot and futures prices of the larger phenomenon of basis, compared to the trading technology high professional investors can trade stocks and stock futures also a way to get almost no risk of the profits. (d) Dynamic Trading Tools (1986 -1989) of stock index futures after several years of trading, the market gradually increase efficiency, more normal functioning, evolving dynamic trading strategies for the implementation of handy tools, including the following two aspects. First, through the dynamic hedging (Dynamic Hedging) technology, portfolio insurance (Portfolio Insurance), namely the use of stock index futures to protect stock portfolios decline in value of the risk; Second, the strategic asset allocation (AssetAllocation). futures market has high liquidity, low transaction cost and high efficiency characteristics of the market, was in line with the global financial internationalization and liberalization of the objective needs of . especially the last decade by the rapid flow of information and resources, computer and communications impact of technological advances, how to quickly adjust the portfolio, has become the world emerging businesses and the investment fund must face, stock index futures and other innovative financial tool provides a way to solve this problem. (e) the stagnation of the stock index futures (1988 -1990) of 19 October 1987, Wall Street stock market plummeted nearly 25% in a single day, triggering a global stock market plunge financial crisis, known as the development of index futures after the stock market crash that has entered a stagnation period. although even the famous stock index futures did not significantly increase the volatility of stock market prices. In order to prevent the price of the stock market fell sharply, including the stock and futures exchanges have taken a number of restrictions. If the provisions of the New York Stock Exchange, the Dow Jones Change 30 industrial average above 50 points, that limit program trading (Program Trading) of the formally. Futures Exchange, the stock index futures contracts to work out the ups and downs stop plate restrictions, in order to cool the market panic or overheating when abnormal mood . These measures in October 1989 the New York Stock Exchange, the price of basis. (f) boom period (1990 - present) into the nineties, the stock index futures dispute the application of the gradual disappearance of more rational investment behavior of investors, have been developed and some developing countries the introduction of stock index futures transaction, with the global financial markets increased the degree of internationalization, the use of stock index futures are more common. the development of stock index futures also raised various other non-stock index futures innovations, such as the consumer price index for the underlying commodity price index futures contract to the air emissions of sulfur dioxide air pollution in the subject of futures contracts, as well as electricity prices for the underlying futures contracts of electricity and so on. can be expected, with increasing depth development of financial futures, these non-physical delivery methods Index futures contracts will have a class broader development prospects. the characteristics of the stock index futures, stock index futures function and role of a price-discovery. futures market because of low margin requirements and transaction fees low, so mobility very good. Once you have information to influence market expectations, will soon be reflected in the futures market. and can be quickly passed to the spot market, so that the spot market prices reach equilibrium. stock index futures Tuesday a risk transfer function. Index The introduction of futures, the market provides a way to hedge risk, the futures of risk transfer is achieved through hedging. If investors hold the stock indices correlated with stocks down in order to prevent future losses, he can sell the stock index futures contracts, that stock index futures and equity long short match, the investors avoid the risk of the total position. stock index futures is conducive to the rational allocation of investor assets. If investors want to get the average stock market return, or promising certain stocks, such as technology stocks, if the spot market to buy them all, certainly requires a lot of money to buy stock index futures, you only need a small amount of money, you can track the market index or the corresponding index of technology stocks , to share the market profits. and stock index futures short term (three months), liquidity, which is conducive to investors to quickly change its asset structure, a reasonable allocation of resources. In addition, the stock index futures market a variety of new investment and speculation; the role of stock index futures arbitrage there, when the stock index futures market price of the large deviation from the reasonable pricing occurs when stock index futures arbitrage; index futures also help state-owned enterprises direct financing in the stock market; stock index futures can slow down the fund cash impact on the stock market. stock index futures as risk management of securities investment provides a new means. It changed the stock from the two basic models of investment. the one hand, investors have a direct means of risk management, through index futures portfolio risk can be controlled in the floating range. On the other hand, the index futures market to ensure investors can seize the opportunity to accurately implement its investment strategy. to fund cases, when the market a brief recession, the fund can make use of index futures, grasp the opportunity to leave without having to give up and long-term investment in stocks. Similarly, when the direction of new investment market, the fund can either seize the opportunity, they could easily selection of individual stocks. precisely because of the stock index futures risk management strategies in the active role played by the growing acceptance by the market, so the last two decades all over the world stock exchanges have introduced a variety of the deal for investors. Stock Index function of futures can be summarized as four points .1. .2 avoid systemic risk. .3 active stock market. spread the investment risks .4. can be hedging. and the index included in the transaction than the stock, stock index futures There are important advantages, mainly in the following aspects: 1, to provide more convenient short selling short selling is a prerequisite must borrow from others to a certain number of shares. abroad for the conduct of short sales no more stringent conditions, which makes the financial markets, not all investors can easily complete the short sale. For example, only the securities market makers in the UK can only borrow in the UK stock; the U.S. Securities and Exchange Rule 10A-1 provides the Commission, investors borrow shares to be carried out through securities brokers, have to pay a certain amount of associated costs. Therefore, not everyone can do short selling. And the index futures is not. actually More than half of the index futures are included with short trading positions. 2, transaction cost is low relative to spot trading, index futures the cost is very low. Index Futures Trading costs include: trading commissions, bid-ask spread, the opportunity to cover the cost of deposit and possible taxes. as in the United Kingdom, futures contracts do not have to pay stamp duty, and only for a purchase of index futures trading, and would like to purchase multiple (such as 100 species or 500 species) share the the need for multiple, large number of transactions, high transaction costs. while the United States a futures (including Jiancang and a complete open transactions) charges only 30 dollars. Some people think that only the cost of stock index futures transaction costs one-tenth. 3, a higher leverage ratio in the UK, the initial margin for a futures trading account, only 2,500 pounds, it can be the FTSE 100 species of index futures trading volume up to 70,000 pounds, leverage is 28:1. As the number of margin payment transactions in accordance with the market value of index futures to be determined, the Exchange will change based on market prices, or whether to decide whether a margin excess can be extracted. 4, market liquidity Some studies have shown higher, the index futures market liquidity was significantly higher than the cash stock market. as in 1991, FTSE-100 index futures volume has already reached 85 billion pounds. from a foreign stock index futures market situation, use of index futures was undoubtedly the most variety of fund investors (such as various types of mutual funds, pension funds, insurance funds) and investment manager. In addition to other market participants are: underwriters, market makers, the stock issuing company. Stock Index the basic principles of futures pricing have a basic law of economics called the Lee, in a market that is cheap to buy, and sell high in another market. In the end the original price because of low market demand for the asset to increase prices, while the original market price of the assets of high Prices will fall until the last two quotations are equal. So forces will produce a fair and competitive prices to enable those unable to obtain risk-free arbitrage profits. We briefly outline the positions forward and futures prices cost pricing model. The model has the following assumptions: futures and forward contracts are the same; the corresponding asset is separable, ie can be zero shares of stock or a fraction; cash dividend is determined; borrowing and lending of funds and the interest rate is the same is known; short selling stock without restrictions, and immediately get the corresponding loan; no taxes and transaction costs; spot price is known; corresponding assets have sufficient cash flow. This pricing model is based on the assumption: futures contracts After the spot corresponding to a temporary substitute for asset transactions. futures contracts are not real assets, but the agreement between buyer and seller, both sides agreed at a later time for spot transactions, at the beginning of the agreement no funds changed hands. FUTURES The seller contracts to deliver the corresponding spot after the cash, it must be compensated to make up for possession of the corresponding spot and give up the right hand the benefits of funds. Instead, futures contracts only after the buyer have to pay a cash settlement in stock use the liquidity to pay the costs of deferred cash payments, the futures price must be higher than spot prices to reflect the cost of financing or positions (the cost of financing generally use this time to express the risk-free interest rate). futures prices = spot price + financing If the cost of the corresponding asset is a portfolio of stocks paying cash dividends, then the purchase of futures contracts held by the party who did not immediately share portfolio and do not receive dividends. On the contrary, the contract held by the seller in the corresponding portfolio dividends received, thus reducing the cost of their positions. So the equivalent of futures prices to adjust downward the rate of dividends. the result is a net position in futures prices the cost of the financing cost less a function of the corresponding assets. that is: Futures price = Spot price + financing costs - dividend income generally , when the financing costs and that compounded with a continuous dividend yield, the index futures pricing formula is: F = Se (rq) (Tt) where: F = futures contract value at time t,; S = underlying asset at the time of futures contract t value at the time; r = T due to the time of an investment, time t is a continuous compounded risk-free interest rate (q = dividend yield, in order to continuously compounded (T = futures contract maturity (years) t = time now (years) to consider an S & P 500 futures contract of 3 months. Assuming that the stock used to calculate the index translated into a continuous dividend yield of 3% per year compound interest, present value of the S & P 500 Index 400, continuous compounding risk-free interest rate of 8% per annum. Here r = 0.08, S = 400, Tt = 0.25, q = 0.03, futures price F is: F = 400e (0.05) (0.25) = 405.03 we will call the theory of equilibrium futures prices futures price, the actual conditions in the model assumptions can not be fully met, and may deviate from the theoretical price. But if these factors into account, then the actual empirical analysis has proven theoretical futures prices of futures prices and no significant difference. stock index futures trading strategy stock index futures investment strategy there are many, but basically nothing more than speculation, to reduce or avoid the risk categories. for those who seek to market risk, stock index futures to provide a high risk opportunity. One simple strategy is speculative use of stock index futures for a profit forecast market movements. If the market price is expected to rebound, investors will purchase futures contracts and futures contract prices expected to rise relative to investment in stocks, its low cost and highly leveraged transactions that stock index futures more attract investors. They can also consider purchasing contracts that trade or invest in the month of Hang Seng Index futures contracts or index. Another more conservative approach is to use speculative difference between the two indices to arbitrage, if investors expect real estate market will rebound, but want to reduce market risk, they can take advantage of the Hang Seng property sub-index and index arbitrage, real estate held long positions to short positions in the Hang Seng index arbitrage. A similar method can also use the same index but to achieve different contract month. typically the reaction forward contracts, the market is more short-term contracts and the index for the large. If speculators believe that the market index will rise but not to bear the consequences of miscalculation, he may purchase forward contracts month contract at the same time put there; but should pay attention to long-term contracts may be affected by the impact of weak trading liquidity opportunities in the face of low risk. the use of different indices for diversification can reduce risk but also reduced the rate of return. a conservative investment strategy, the final result may be to completely avoid risk in the time do not get any return. stock index futures as a hedging portfolio can also be the risk, that is, the hedge price risk can be transferred from hedgers to speculators body. This is an economic function of futures markets. is to use futures to hedge the stock portfolio value of fixed investors. If the stock price of the portfolio as prices rise and fall with changes in the investment side of the loss can be received by the other party to hedge interest. If profits and losses are equal, such hedging is called fully hedged. in the stock index futures market, hedging will bring completely risk-free rate of return. Actually, the hedge is not so simple; To obtain the fully hedged , return on equity portfolio held to be completely stock index futures contracts such as the rate of return. Therefore, the effectiveness of the hedge by the following factors: (1) the investment portfolio volatility and stock market returns between the returns on futures contracts relationship, which refers to the equity portfolio of the risk factor (beta). (2) index of spot prices and futures prices of the gap, the gap is called basis points. in the hedge period, the point may be large or small, if basis point change (this is often the case), there can be no perfect hedge, the greater the change in basis points, full hedge ...