Research on Key Technology and System Problems of Launching Domestic Stock Index Futures
|Keywords||Domestic Stock Index Futures Underlying Stock Index Selection Contract Design Risk Control Systems|
1982 witnessed the birth of stock index futures in U.S., the world then saw the mushrooming of launching and trading stock index futures in a row. Nowadays, the stock index derivatives have been the dominant financial derivatives exchange-traded globally. After many years’exploration, launching the domestic stock index futures has become the social common sense and is the urgent need today, because both the stock and the futures market have paved the road well. In this connection, three key technology and system problems need to be solved successfully, namely, how to choose the ideal underlying stock index from prevailing domestic stock indices, how to design the stock index futures contract scientifically and reasonably,and how to control the risks effectively and successfully by using proper rules and regulations made by the futures exchange. It goes without saying that solving the problems well has a direct bearing on the successful launching, smooth working and effective role-playing of domestic stock index futures. Accordingly, this paper makes a comprehensive research and detailed discussion on the problems mentioned above, following the research logic of selecting ideal underlying stock index carefully, designing futures contract properly and controlling the risks successfully.In order to select ideal underlying stock index carefully, this paper reviews the domestic potential indices complied and published by Shanghai Stock Exchange, Shenzhen Stock Exchange, China Securities Index Co., Ltd., FTSE Xinhua Index Limited , S&P/CITIC Index Services , Dow Jones Indexes, domestic securities corporations or other intermediary institutions. Based on ten prerequisites which an ideal underlying stock index should fulfill, this paper, by methods of qualitative analysis, selects five indices, i.e., CSI 300 index, S&P/CITIC 300 index, FTSE Xinhua 200 index, FTSE Xinhua 600 index and Dow Jones CBN China 600 index. Then this paper, by using methods of Least Variance, Analytical Hierarchy Process and Questionnaire Survey, makes empirical analysis and quantitative evaluation of the five indices selected from different aspects of hedging effect, anti-manipulation, liquidity, finance and risk-return characteristics. The overall result shows that FTSE Xinhua 600 index is the best.In order to design futures contract properly, this paper selects ten stock index futures contracts, which are actively traded, well-known and highly representative, from nine overseas mature futures markets. With the help of contract design experience of domestic commodity futures, this paper first compares the design rules and practices, then concentrates on solving the trading, delivery, settlement and clearing problems related to the contract. As for the main contract items of FTSE Xinhua 600 index futures, this paper does a detailed research and design on Contract Multiplier, Price Quote, Tick Size, Trading Hours, Last Trading Day, Trading Fees, Ticker Symbol, Contract Months, Delivery Method, Last Settlement Day, Last Settlement Price and so on.In order to control the risks successfully, first of all, this paper points out the risk control of stock index futures is a systematic engineering which includes macro-market risk management and micro-market entities’risk control. Thereinto, the futures exchange is at the forefront of risk control, thus becoming the core and key part. Based on the study of successful risk control experience and practices coming from the overseas stock index futures market and domestic commodity futures market, this paper thinks that the domestic stock index futures exchange should establish and perfect a set of risk control systems which include System of Membership Qualification Examination, System of Price Limits, System of Margins, System of Daily Non-indebtedness Clearing, System of Positions Limit, System of Large Positions Reporting, System of Risk Reserve, System of Investigation, System of Forcibly Close-out of Positions, System of Risk Signal, System of Handing Abnormal Situations, System of Handling Noncompliance, thus preventing the risks before generating, reducing them when happening, handling them after happened effectively and successfully.Finally, based on the chapters above, this paper summarizes the main conclusions and points out the directions for further search.