Learn about the FTSE Xinhua China A50 index futures knowledge

 (Wolf by: experienced the We need to understand that knowledge)
look at the blog post:
A50 A stock index plunged manipulation?
2007-7-24 9:50:57
of: East blog doit
A50 A stock index plunged manipulation?
mm concerned about the crash at the end of the phenomenon
Editor's Note: June 28 crash of Shenzhen and Shanghai with its inevitability. since June 28 SGX FTSE Xinhua China A50 Index futures June contract settlement date. The February 27, May 30, respectively A50 futures plunge in February, May contract settlement date. These Is it just coincidence? Definitely not.
when China's CSI 300 stock index futures after a long hard appearance, the Singapore futures exchange-listed securities of the A50, in a sense, has got the pricing power of A shares.
since last September 5 A50 index after the advent of futures, A50 A stock index futures and the common experience of a three-month long unilateral City. entered since 2007, A shares of the long side into a high and volatile city of cities, to see some space inside and outside the A shares speculative funds and QFI, A50 index futures began wantonly or short. The second to last business day of each month, as the last trading day of the month contract with cash settlement date is the long and short days of battle. This is the February 27, May 30, June 28 crash of the market background. This is the FTSE Xinhua A50 of the 50 constituent stocks in the fall at almost all of the reasons are fully suppressed.
specific to June 20 since 4312 adjustment is so tragic, first of all be attributed to June 5 the strong rebound since the great surprise, leading to the June A50 index futures bearish on the short side facing huge loss risk, as of June 22 the two cities of Shenzhen and Shanghai have been closed down 5%, but the A506 is the monthly average turnover of 14,108 contracts points lower than the stock's closing price 14 746 points, the short side book loss of 4.3%. A50 index futures short side this week, a fight, especially a successful director in June contract settled at - -6 28 Shenzhen and Shanghai slump, A50 empty square to spot when the closing price finally settled into the black, while the A shares of the parties in turn is somehow tricked the one.
the Singapore futures exchange to A50 the balance sheet date in the second last business day of each month, can be described as scheming, who does not know the first business day last month, is the market value of the Fund Awkwardness will fight to defend the day. While the 50 components in the A50 stocks, QFII to enter the top ten shareholders of circulation of 41, held more than 100 billion market capitalization, but the A50 than the public fund holdings can be described as trivial. If A50 futures settled at first in last month business day, the air inside and outside part of the A shares of speculative capital and QFI, dare vigorously for space?
6 月 29 not only saw the last trading day in June, is also the last trading day of the first half. Fund is bound to the fight to defend the performance of semi-annual report, therefore, experienced a slump after June 28, June 29 The sharp rebound is inevitable.
Note: This article published in July, while the FTSE Xinhua A50 to the next settlement Day is July 30. think of the crash on August 1, does not matter?! we have before the end of the operation of the high degree of attention.
A50 The following are the basic content of the sample stock shares, contract specifications and its main influencing factors to make a comprehensive introduction to the investor has a better understanding.
one of the FTSE Xinhua A50 index
Sample Stock Index FTSE Xinhua A50 by the FTSE Index Limited prepared one of the FTSE Xinhua Index Series. A50 Index FTSE China A shares exclusively for foreign investors and interested investors in China designed, the sample is in the public float of shares adjusted total market value of Shanghai and Shenzhen after the 50 largest A-share companies (see Table 1), accounting for 35% of China's A share market about the market value of highly representative.
Xinhua China A50 index constituent stocks of the list (Table I)
(2006 年 8 月 11 for date)
serial code Company securities closing price (yuan) Dividend yield (%) weight (%)
01 600036 7.66 1.04 9.0627 Merchants Bank
02 601988 Bank of China 3.27 0 5.6025
03 601006 Datong-Qinhuangdao Railway 5.79 0 5.4295
04 600028 China Petrochemical 6.17 2.11 5.1959
05 600019 Baoshan Iron & Steel 4.1 7.8 5.1884
06 600900 6.41 2.95 5.0562 Yangtze Power
07 600016 Minsheng Bank 4.11 0.87 5.0302
08 000002 Shenzhen Vanke A 5.86 2.56 4.8303
09 600050 China Unicom 2.29 1.81 3.5077
10 600519 Moutai 44.08 0.3 3.0063
11 000858 12.78 0.78 Wuliangye 2.5040
12 000063 ZTE 25.8 0.97 2.4882
13 600009 Shanghai Airport 13.3 0 2.4693
14 000001 Shenzhen Development Bank A 6.82 0 2.3974
15 600018 Shanggangjixiang 16.65 2.16 2.1710
16 600104 Shanghai Auto 4.97 5.03 1.9609
17 600005 Wuhan Steel shares 2.5 12 1.8880
18 000039 CIMC Group 11.33 3.05 1.8188
19 600000 Shanghai Pudong Development Bank 9.26 1.4 1.7465
20 600583 Offshore Oil 21.51 0.46 1.6414
21 002024 Suning 44.99 0 1.5622
22 600320 Shanghai Zhenhua Port Machinery 8.73 1.15 1.5278
23 600030 CITIC Securities 12.78 0.94 1.5278
Securities Code No. Company Name closing price (yuan) Dividend yield (%) Weight (% )
24 000069 OCT 11.1 1.8 1.4855
25 600309 Yantai Wanhua 12.96 0.83 1.4836
26 000898 Angang 5.38 6.69 1.3071
27 600717 Tianjin 7.46 12.9 1.3017
28 000792 Salt Lake Potash 17.6 2.84 1.3016
29 600832 Oriental Pearl 9.25 1.35 1.2877
30 600015 China Banking 3.87 2.84 1.1746
31 600795 GD 6.9 1.16 1.1311
32 600688 Shanghai Petrochemical 6.36 1.57 1.1191
33 600642 Shenergy 5.47 4.57 1.0632
34 600585 Conch Cement 14.03 0.5 0.8339
35 600362 Jiangxi Copper 10.27 1.87 0.7459
36 600029 Southern Airlines 2.33 0 0.7184
37 600205 Shandong Aluminum 14.41 2.67 0.6998
38 600649 raw water Share 4.94 2.02 0.6727
39 600008 Capital stock 4.21 4.28 0.6693
40 000088 Yantian A 7.41 8.77 0.6667
41 600026 China Shipping Development 6.73 4.46 0.6582
42 600011 Huaneng Power International Inc 4.42 5.66 0.5749
43 600350 Shandong Infrastructure 3.4 3.89 0.5413
44 000869 Changyu A 32 1.68 0.5377
45 600600 Tsingtao Brewery 10.52 1.43 0.4965
46 600663 Lujiazui 7.44 0.81 0.4868
47 600188 6.03 3.65 0.4299
48 Yanzhou Coal Mining Company 000,539 Yuedian 4 4.5 0.3843
49 600808 Magang 2.42 6.61 0.3579
50 600377 Ninghugaosu 4.67 3.1 0.2575
II FTSE Xinhua A50 index futures, trading, the FTSE Xinhua A50 index
The value of each futures index point multiplier is 10 dollars to close at 5,000 points, for every face value of 400,000 yuan contracts.
FTSE Xinhua A50 index futures price is the minimum change in 1:00.
A50 Futures time in two phases, is designed for different customers, from 9:15 to 15:15 is designed for Asian investors, the period is T +0 transaction. The second stage is to meet the non-Asian Time Zone investors (mainly European and American investors) demand, set the T +1 period (ie 15:40-19:00) transactions.
A50 index futures contract value is expected to deposit 5% m 10 %, but the provisions of the contract is not a fixed amount of margin, it will float with the market change accordingly. to the lowest 5%, the need to 20,000 yuan, with 10% of the total will have 40,000 yuan.
A50 futures contract month is the last two months, after its four quarter months (ie 3,6,9,12 month), while the CSI 300 index in the last two months plus the next two calendar quarter months.
Xinhua FTSE A50 index futures price volatility in the initial circuit breakers limit is + / - 10%, once the playing board, the next 10 minutes will be allowed only in the + / - 10% range of transactions. 10 minutes after the expansion of price limits to + / - 15%. If a plate again this, we will have 10 minutes of cooling-off period, during which only allowed within + / - 15% range of transactions. 10 minutes cooling the rest of the day after the trading hours, cancel the price limits. scope than the Shanghai and Shenzhen 300 6% and 10% of the fusing system large.
FTSE Xinhua A50 index futures contracts, the contract set
base
10 美元 * SGX FTSE / Xinhua China A50 index futures value
Contract Month Code
CN

2 most recent consecutive months and quarter months (3 months, 6 months, 9 months and 12 months.)
trading hours
(Singapore time, ie, Beijing time)
T time: 9.15 -11.35 13.00 n 15.05
T +1 session: 15.40 -19.00
the last trading day trading time
Ibid
margin
margin is expected to contract value The 5% m 10%, but the contract is not a fixed amount of margin, it will float with the market change accordingly.
tick
1 index point ($ 10)
daily price The initial circuit breakers to limit
+ / - 10%. Once a plate, the next 10 minutes will be allowed only in the + / - 10% range of transactions. 10 minutes after the end of price limits expand to + / - 15 %. If a plate again this, we will have 10 minutes of cooling-off period, during which only allowed within + / - 10% range of transactions. 10 minutes cooling the rest of the day after the trading hours, cancel the price limits.
due No contract last trading day of the month price limits.

last trading day of the penultimate month of the contract expired 2 days
settlement cash settlement


final settlement of the final settlement price Price will be the FTSE / Xinhua China A50 index of the official closing price, accurate to two decimal places.
position limits
net open positions of all contract months shall not be more than 5000 hand; approved by the Exchange may be the exception.
bargaining
200 hand three large transactions, how to invest in the FTSE Xinhua China A50 index futures
1, FTSE Xinhua A50 index futures and the Shanghai and Shenzhen 300 Index futures related
FTSE A50 index futures and the Shanghai and Shenzhen China A 300 Index futures are futures stock market index, the Shanghai and Shenzhen 300 Index constituent stocks of the FTSE Xinhua A50 covers Index, the two movements are highly correlated, so the constituents of the FTSE Xinhua A50 is essentially concerned constituent stocks on the Shanghai and Shenzhen 300 Index is the core part of the concern. According to the two indices since April 8, 2005 closing price since the data obtained using eviews statistical software, and their correlation coefficient is 0.983966.
2, FTSE Xinhua A50 index futures investments
FTSE Xinhua A50 index futures mainly active investors QFII, domestic and foreign speculative funds of funds on the A shares of interest.
Currently, there are 36 institutions have QFII received a total approved foreign exchange investment quota of $ 7,145,000,000. QFII will use the FTSE Xinhua A50 index futures to hedge, is the FTSE Xinhua A50 index futures the stability of legitimate participants. domestic speculative money is FTSE A50 index futures important players in the convenience of their use of their own in the domestic A share market and the Singapore futures market speculation and arbitrage trading. In addition, foreign funds on the A shares are also interested in the FTSE Xinhua A50 index futures are important participants, the A50 index futures as a substitute for their investment.
3, FTSE Xinhua A50 index futures prices are on the influencing factors
A-share market, and the FTSE Xinhua A50 index and the Shanghai and Shenzhen 300 Index has a high correlation , which is why the factors that affect the Shanghai and Shenzhen 300 Index will also affect the FTSE Xinhua A50 index, thus affecting the price index.
(1) macroeconomic factors, changes in economic trends at home and abroad
, and the inner cycle of market economy of operation rules, are important factors affecting the stock market in the economic prosperity of the upcoming mm and at the stage of prosperity and development of stock index futures prices showed a rising trend; the contrary in the stock index futures prices during the depression will become depressed. At the same time the Government's fiscal monetary policy and industrial policy also have an impact on related sectors, thereby affect the index in proportion to the weight of the trend, thereby affecting the movement of means.
(2) constituent stocks of the companies and the Shanghai and Shenzhen 300 Index
factors as FXI A50 index futures in particular, is one of the constituent stocks of the heavily weighted stocks such as Sinopec and Bank of China when the concentration of dividend distribution or bonus issue will have a great impact index. in which the cash dividend will reduce the stock price will be reduced market capitalization; stock dividend will reduce the stock price, but will not affect the flow of market value; bonus issue will increase the market capitalization; Fund donation will reduce the share price will not reduce the market value; issuance and circulation of new shares issued will increase the market value, thus pushing up the stock index.
(3) weights of individual stocks movements
A shares on the stock market from the impact point of view, must FTSE Xinhua A50 index of shares of particular concern to the sample, the sample shares of certain investment opportunities may exist. power re-sample prices dramatic fluctuations, will lead to fluctuation in stock market capitalization, thus affecting the stock movements, that blue chip companies leverage. Therefore, the trend of concern to heavyweight to anticipate the market's trend. while also concerned about the trend of other related indices, as above Shanghai Composite Index and the Shenzhen index.
(4) institutional speculators operating
FTSE Xinhua A50 index futures mainly speculative investors in the international and domestic institutional investors, combined with the sample of stock index options characteristics, determine its will easily be manipulated. because of its banking sector accounted for more than 20% weighting, while the banking sector is the strongest of all sections of the plate in the linkage, international rating agencies can suppress or sing through the bank index shares, the index stocks are also in linkage with the banking sector under the effect of driving up with the down, so that the FTSE Xinhua A50 index in accordance with their wishes up or down, to Jiancang or shipping purposes, the stock index futures prices also have a great impact.
addition, from the perspective of institutional investors may be concerned about: Singapore launch of stock index futures A50, QFII movement of the product; A50 index futures came out and the FTSE Xinhua Hong Kong-listed interactions between A50ETF ; trends in the underlying index stocks. concerned agencies speculators is helpful for understanding the latest market direction, follow the directions can get a stable income, or to avoid greater risk.
(reprinted some of the original articles and knowledge), Singapore FTSE Xinhua China A50 index futures market for the burial of the great risk
SGX FTSE Xinhua A50 index futures September 5, 2006 launch, I believe that the presence of foreign futures for the Chinese stock market contains enormous risks, However, the majority of our investors are not aware of it, I think half of 2006 China's stock market rally began the crazy side, and SGX A50 is likely to have a certain relationship between index futures.
1, the status of China's stock market has created favorable international conditions for speculators
the world is China's stock market has a unique feature is that stock prices generated by the outstanding shares, but the weight calculated by the total share capital, which makes some of the small proportion of outstanding shares the total capital stock has a lot of leverage, such as Bank of China, ICBC shares outstanding only about 5% of the total share capital, but the calculation of the weight is the total share capital, such a result would come out of reality, if this 5% N% of the outstanding shares rose, then in fact is considerable and outstanding shares of the total share capital of 20 times higher N%, simply say the kinetic energy prices is magnified by 20 times. At present the Bank of China, ICBC's market value accounted for Shanghai Stock Market about 37% of funds under control if there is a large share of these two outstanding shares of 5%, which means under control 37% of the market value of Shanghai stock market. China's stock market the existence of this reality, the international investment capital through the manipulation of A Index, the Singapore index arbitrage creates favorable conditions for strong, simple manipulation of a few if they talk about a super market shares, then the index can manipulate the A shares, while the A share index of the ups and downs can directly affect the A50 Index Zhang fell, so they can index futures on the A50 in Singapore by their large profits
2, control of the Shanghai Composite Index on the control of the FTSE Xinhua A50 index
domestic investors ignore the existence of stock index futures in Singapore A major reason is that many people think that the subject of the Singapore Index Futures Index A50 index, different from the domestic A-share index, in fact, this view is naive and one-sided. China's stock market in the process of development has introduced a number of indices, but eventually play a leading role in the Shanghai Composite and Shenzhen into a mean, which is the main Shanghai Composite Index, China's stock market from a historical perspective, the Shanghai Composite Index in the number and decided to play a leading role in Shanghai rose up the other indices, the Shanghai index fell down the other, there is no emergence of a separate operation in the Shanghai Composite Index, from the operation of these indices can be seen on the Shanghai Composite Index tracks the shadow of a The Shanghai Composite Index almost a replica, so the control of the stock market in China, the Shanghai Composite Index on the control of all, this also applies to the FTSE Xinhua A50 index, if the Shanghai Composite is up and FXI When the possibility of A50 index rose almost 100%. So for the Singapore index futures arbitrage A50 in terms of speculative funds, control of the Shanghai Composite Index actually control the FTSE Xinhua A50 index.
3, who possible to carry through the control of Singapore's benchmark Shanghai Composite Index futures
Some might argue that China's stock market has not opened, the international speculative capital market speculation on the Chinese stock market is currently nowhere to turn, it is not true, in theory, now There are some powerful financial groups that can be speculative arbitrage, the first is the QFII, as a QFII can buy A shares made in the country, while in Singapore and then to buy stock index futures, if they are bought in China Bank of China, ICBC and other broad market index stocks, then the manipulation of index arbitrage is not ruled out the possibility of the Singapore futures; other corporate behavior can not be ignored, currently does not record the number of foreign multinationals, and these companies to buy A shares in China in foreign buying of index is the proper and lawful, and these enterprises and foreign joint large speculative funds of index arbitrage in Singapore may also exist; CNOOC oil futures events, but also indicate the domestic futures market, foreign capital inflows may also be there, which made domestic and foreign capital together through the manipulation of index arbitrage, short of that possible
As China continues to open the channels of speculative foreign funds have joint gradually increased, and these channels are likely to far exceed the size of our imagination.
4, the frightening thing is that we are not aware of the existence of risk
appeared in China's stock market in 2006 a magnificent bull market, most people believe that the current round of stock market is made as to promote the appears, although we can not deny the share reform in the current round of the role of the bull market, but neglected aspect of stock market funds is not to promote rational, more noteworthy is that the halo in the share reform we will ignore the huge market risk, A50 index futures in Singapore is one of them. if the current bull market and the Singapore index madness has a certain relationship, then the Chinese stock market may have been the enormous risks, because the current from the Chinese stock market rose 998 points in a row space of about 200%, the market behind have accumulated a huge risk, but outside of a joint stock investment funds using indicators backhand short, then it will give China a huge stock market disaster, because when China's stock market plunged down the more the more deep, speculative short funds in the stock index futures before they can get more profits.
the most horrible thing is that now we do not recognize the existence of such risks, many people still immersed in the excitement and success of the share reform bull market frenzy.
Issing
information:
East Bank Deputy General Manager Mr. Liu Zhongyuan futures article 2006-08-25 14:53
. fired the index futures Battle: The Chinese challenge in Singapore FTSE China A50 index futures when the legitimacy of
a people can not afford preemptive rights of non-natural and fair play
how to look, optimistic estimate should be released end of the year, while the Singapore Exchange has announced plans to launch in September 5th FTSE Xinhua A50 index futures. For this will have a positive or negative impact? if significant negative effects, should take measures to check it still stand? this series of questions is a fever between the domestic market.
Singapore says
Some people think Singapore launch of China's stock index futures is a good thing reason is of course wrong. but considering the reality, this rush of the runway-style competition, or whether some would be too cruel.
act of domestic public opinion in Singapore has shown great concern. should be said that worries are not groundless, but the place was previously proved by the fact that a large number.
these concerns, expressed a lot of Singapore-style shows to appease.
Vice Chairman Wang Ruidian said SGX : China A shares A-share market is still pricing power, while the FTSE Xinhua China A50 index futures is price discovery process in financial markets play a complementary role.
SGX products and services at the Department of International Product Brief Pei-yu said: China A-share market arbitrage induced fluctuations, SGX answer is: they are not in the product design QFII special consideration as a major customer groups, SGX launched before a few other markets for stock index futures, until now there is no evidence that market manipulation through the local stock market in Singapore. The size of this position is not sufficient to manipulate the market. have also been worried about the Taiwan market, but long-term practice has proved that no ulterior motives of the bodies interfere with the market the two products.
really just a > unfair competition
Needless to say, we have the experience of derivatives transactions as Singapore. In this case, we do need to make more efforts to improve their own competitiveness. However, can not see , the new A-shares index futures on the level of competitiveness depends on the experience of failure.
A-share market in China is the home market, the development is for the purpose of stock index futures market hedging instruments. in the design of the system and stock index futures rules, the gold must be placed everywhere in the care of the securities market in mind, the goal is to play a positive role in stock index futures, as far as possible to limit their possible negative impact, not in pursuit of trading volume for the first goal. However, Singapore is the offshore market, the pursuit of trading volume is well justified, as to whether the mainland stock market will have a negative impact, they need not be responsible for using care not. In this case, the competition is unequal between the two The.
this point, only to compare the two exchanges can easily find the design contract.
1, used in gold in Shanghai and Shenzhen 300 Index as the benchmark. Why the broad-based index, mainly on account of anti- manipulation ability. SGX selected A50 index, those who attempt to manipulate the market, means lower costs and more opportunities. Of course, the more the favor by making the index futures trading volume will be more large. If volume for the first goal, this option will undoubtedly have an advantage.
A50 index as 50 stocks are all stocks in the Shanghai and Shenzhen 300 Index, the equivalent of digging a 300 index in the core section, therefore, making control of the A50 Index on the Shanghai and Shenzhen 300 Index almost control, even in the same time introduced new stock index futures, stock index futures is also home to Singapore index futures just hold the In this case, how do we compete? is not ignoring the possibility of manipulation of the stock market to a smaller A30 index? Obviously, this is not possible. people can disregard the safety of the stock market, it is because other people's children do not feel bad, and we are their children, how can we disregard!
2, in which the development of stock index futures gold price limits to take into account the current provisions of the securities market, using the same proportion of 10%. SGX is no limit to a complete release. day of our stock index futures is really price limits, no liquidity, the Singapore Exchange is that all investors must look to the temple, and will only become more active. that I do not believe, look at Taiwan, have been provides a precedent.
from a competition perspective, the market appears more extreme, the more active trading in Singapore. Of course you can say, we can not set price limits and even the stock market price limits also abolished ah. However, this competition continues, not only the index of introduction of night market transactions. on the domestic stock market, as it is not the international variety, there is no need for night market transactions. in the information disclosure, domestic usually after 5 o'clock in the afternoon revealed that the time period is fair to all investors .
SGX trading hours can be described as the distinctive design, in addition to simultaneous transactions during the day, but also introduced 15:40-19:00 late trading. this time it is important to the domestic news and related disclosure of information related to the time Singapore, prices can be adjusted immediately, while domestic investors because they have stopped trading, often inaccessible. More importantly, due to Singapore's closing price already includes the latest news, actually for the stock market in China set the tone for tomorrow .
this, how do we compete?! also pushed late offer? or to delay the disclosure of information after 19:00? If the latter, people will further delay the closing time of 1 hour, we'll follow the delay? true To this response, I am afraid that people had messed up and rest time, this index futures have a strong competitive edge, this competition is not all from domestic stock market to cause significant adverse effects. . we all know, is an important trick manipulator is: to advance on the layout of a large number of stock index futures positions in one direction and then in the stock market to launch the attack in the same direction, if succeeded, in spite of paying a certain spot on the price, but as long as the futures benefits outweigh the costs, you can get to manipulate profits. In this regard, countries have adopted the practice of futures position limit, the aim is to limit the manipulators to manipulate profits.
under the gold despite a relatively strict position limits, but , SGX has also introduced the case of stock index futures, the dealer can increase the position by the method SGX ...