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Dołączył: 21 Lut 2011
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On guard against the risk of stock index futures
[Abstract] index futures of the transaction risk can not be ignored, our government should establish a sound legal system and strict transaction risk prevention mechanism and a sound market regulation mechanisms, improve market supervision. The trading of stock index futures to protect against risk.
the stock market and futures based on current actual market size, demand and the legal and regulatory environment, China already has the conditions for the development of index futures. Other countries in the index futures based on the experience and lessons of view, the risk index futures index futures to prevent problems is to carry out the issue a top priority, so the transaction process, to establish a sound legal system and strict risk prevention measures and sound market regulatory mechanism.
[Paper Keywords] stock index futures risk prevention
First, the general risk
stock index futures stock index futures market because of uncertainty, not only Futures markets risk, but a risk on the spot market, or even give the market the main macro-and micro-entities and the social, economic and environmental hazard.
(a) the type of stock index futures trading
by the Basel Committee on July 27, 1994 released of the transaction risk classified as follows. (1) Market risk. Market risk, also known as price risk, price risk, including stock index futures speculators on the futures price risk and hedging risk prediction errors. Hedging risk is the stock index futures when the stock price index of the subject matter of adverse changes occur, that changes in the stock market index futures and stock is not fully proportional to changes in stock market indices, hedging transactions to hedge the change or rupture the risks posed. Caused by stock index futures market hedging can not play its function. The main risk hedging basis risk, due to the spot price and futures price convergence between is uncertain, especially before the expiry of hedging in the futures, futures prices often deviate from the spot price over, basis risk likely to increase. (2) credit risk. Credit risk, also known as default risk, when the counterparty is unwilling or unable to complete the contractual obligations, credit risk will appear. Default of the counterparty can be divided into two hostile breach of contract and was forced to default. The former is capable of performing, but deliberately does not perform, the latter does not afford performance (such as bankruptcy and other reasons) and not compliance. For stock index futures, the credit risk of a very small probability of occurrence, because during the stock index futures, the exchange has a unique trading system, such as setting up a series of margin system, the minimum capital requirements, daily mark to market settlement measures and forced open the system, so that the credit risk of the market decline. But this by the clearing house acts as counterparty for all investors, and assume responsibility for compliance, once the settlement of companies with exposure, because of its excessive concentration of risk, it will endanger the security of the entire system. (3) liquidity risk. Liquidity risk includes two types of risk, liquidity risk of a market, and the other is the liquidity risk. Market liquidity risk is the lack of trading volume or market can not get market prices, leading to the risk investors can not open in time. Liquidity risk is the market caused investors to liquidity when the contract expires or can not meet contractual obligations to pay margin calls can not be at risk contracts. Funds in the stock index futures market speculators, liquidity risk is often an important means of market manipulation. If more serious breaches empty main square, will be faced with countless short or long positions in the risk of explosion, caused by man liquidity risk. Such as China's (4) operational risk. Operational risk is due to human factors and risk management control in the risk of loss resulting from failure. Its essence is management. Operational risk caused by the main reason for the error was, Computer system failure, the operation program error, system failure or failure of internal control and so on. Such as the collapse of Barings Bank case, the system of internal control mechanism is a typical result. (5) legal risk. Legal risk is the trade agreement and its content in conflict with the relevant legal system, resulting in the normal performance of the contract can not or can not obtain the expected economic benefits resulting from risk. Course, including related regulatory development is not timely, incomplete, dramatic fluctuations when the market was forced to take the risk caused by temporary measures. For example, in the
Second, the special risks of stock index futures stock index futures as
financial derivatives, in addition to general risk, but also because the subject matter of the contract of their own characteristics and special design process , while with some specific risks: (1) basis risk. Basis risk is the stock index futures relative to other financial derivatives (options, swaps, etc.) special risks. In essence, the basis reflects the time value of money, should generally be maintained within a certain range of positive (ie the forward price is greater than the spot price), such as the U.S. Standard & Poor's 500 stock index futures (S & P500) of the base poor, in general, 2 to 3 points. However, in a huge market fluctuations, there may be upside down or even worse a long time base inversion of the anomalies. The abnormal changes of basis, that the price of stock index futures has been completely distorted information, which will generate huge trading risks. (2) differences between varieties of the risks posed by the contract. Different varieties of risk posed by the contract, the contract is similar to species such as the Nikkei 225 stock index futures and Tokyo stock index futures, the same factors, the price changes are different. Performance in two situations: First, in the opposite direction of price changes. Second, the magnitude of price changes is different. The contract price of similar species,[link widoczny dla zalogowanych], changes in the rate under the same factors on the differences between species also constitute a risk of the contract. (3) the subject matter of risk. Stock index futures, the underlying design of the special nature of the risk is not fully locked to their specific reasons. From the technical point of view of hedging, commodity futures, interest rate futures and foreign exchange futures hedgers, can be in a certain period of time, through the establishment of the number of futures contracts on the spot and the consistency of transactions to the opposite direction completely locked risk. The stock index futures because the special nature of the subject matter, so that the number of futures contracts on the spot, and consistent with the theoretical significance only, and not practical operational. Because the stock index of the integrated design,[link widoczny dla zalogowanych], and design considerations of weight, making the stock portfolio in stocks, varieties and weights when the stock index exactly the same, the only real way to completely lock the risks, which in practice The feasibility is almost zero. Therefore, the special nature of the subject matter of stock index futures, so full sense of the hedge between futures and spot impossible, so the risk will always exist. (4) delivery system risk. A cash settlement of stock index futures settlement manner. Combination of physical delivery compared to other liquidation of the financial derivatives products,[link widoczny dla zalogowanych], there is a greater risk of the delivery system. If the interest rate futures, spot bonds meet the specifications, in any case be able to meet part of the delivery requirements. Stock index futures can only be one hundred percent of the cash settlement, and not to correspond to the complete liquidation of the stock.
three stock index futures risk prevention
(a) establish a sound legal system
To ensure the safe operation of index futures, we must establish strict regulations and monitoring systems, and improve traders, prevent the risk of index futures, index futures market to ensure fair competition and running smoothly. For the foreign index futures, have strict regulations and monitoring system. In the United States,[link widoczny dla zalogowanych], the index futures legislation in the national unity, and promote the development of the market. China's futures trading has now formed a unified regulatory system,[link widoczny dla zalogowanych], the formation of a Futures Commission regulatory approach of the two, and two index futures regulatory approach can be adopted to facilitate risk management. On the legal system, according to the characteristics of index futures on the Developed from the long-term consideration as soon as possible,
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