Stock index futures and spot index arbitrage principle.

It refers to the trading strategy of investing in stock index futures contracts and the corresponding package of stocks, in order to obtain profits from the price differences between the futures and spot markets of the same group of stocks.

First, when the actual price of futures is greater than the theoretical price, sell the stock index futures contract and buy the component stock portfolio in the index to obtain risk-free arbitrage income.

Second, when the actual price of futures is lower than the theoretical price, buy the stock index futures contract and sell the component stock portfolio in the index to obtain risk-free arbitrage income.

Sell stock index futures for hedging.

Investors who already own stocks and want to know how to open accounts for futures or investors who are expected to hold stocks, such as securities investment funds or institutions with heavy stock positions, sell stock index futures contracts to preserve value in order to avoid losses caused by falling stock prices when they are unsure of the future stock market trend or predict that the stock price will fall, so that once the stock market really falls, Investors who want to know how to open futures accounts can make profits from the trading of selling stock index futures contracts in the futures market to make up for the losses in the stock spot market.

Example 1: a domestic securities investment fund, whose stock portfolio income reached 40% on June 2, 2006, has a total market value of 500million yuan. The fund expects that the bank may raise interest rates and some large cap stocks will be listed one after another. The stock may have a short-term deep decline, but it is still optimistic about the future market, and decides to use the Shanghai and Shenzhen 300 index futures to maintain its value.

Suppose the correlation coefficient between its stock portfolio and Shanghai Shenzhen 300 index β It is 0.9, and the spot index of the CSI 300 index on June 2 is 1400 points. Assuming that the futures contract expiring in September is 1420 points, the hedging quantity of the fund is: (500million /1420) × 100） × 0.9 = 3169 hands.

On June 22, 2006, the stock market stabilized. The spot index of the CSI 300 index was 1330, and the futures contract expiring in September was 1349 points. The fund believed that the future market would continue to be bullish and decided to continue to hold stocks.

What are the main factors that affect the construction of stock index futures in the futures system.

The main influencing factors are summarized as follows:.

(1) The futures price will be affected by the price of its underlying index.

The stock index futures to be listed is based on the Shanghai Shenzhen 300 index. These 300 stocks cover most industries of the national economy. Portfolio theory tells us that if we have the conditions for opening futures accounts, such a fully decentralized portfolio is only affected by systemic risks. It is meaningless to study the rise and fall of individual stocks, but practical experience tells us that there are often several stocks in the index that will play a leading role, These stocks generally account for a large proportion of the index weight, or they represent an industry that accounts for a large proportion of the index weight. The rise and fall of these stocks will lead the plate they represent to rise and fall together, which will have a certain impact on the index. Therefore, paying attention to the performance of some leading stocks of Shanghai and Shenzhen 300 and some related policies will have a certain reference role in grasping the changes of the index. In addition, dividends and stock dividends of constituent stocks, Events such as allotment and suspension of futures software companies will also have an effect on the rise and fall of the index.

(2) Macroeconomic situation.

Some macroeconomic data regularly released by relevant national departments, such as GDP growth, inflation rate, unemployment rate, retail growth, savings rate, etc., will affect the future monetary and fiscal policies of the government, and will have an impact on the future economic expectations of investors who are qualified to open futures accounts, which will eventually be reflected in the futures price.

(3) The interconnection between markets.

Although China's capital account has not been liberalized at present, the degree of China's integration into the global economy is gradually deepening, and the RMB exchange rate has also been floating with restrictions, which shows that China's capital market cannot be independent of the global financial system, and the changes in surrounding markets will have a certain impact on China. In addition to domestic and international markets, we should also pay attention to the bond market and foreign exchange market, Commodity market and real estate market, because there is a certain degree of substitution between various investment varieties, the flow of funds will have an impact on the market.