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--- the use of international speculative capital H shares, A shares and stock index futures in the way of conjecture




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Changjiang Securities Research Institute, the report points ◎ Granger causality inquiry shows that the overall Hong Kong market on the mainland stock market guide. A + H shares on the yield of the theoretical test and found that H shares and H shares Index Change Change Change 300, respectively, and A shares in Shanghai and Shenzhen have significant ups and downs guide.
◎ international investors moved up shares H shares, H shares to A shares through the guiding role of A shares in Shanghai and Shenzhen 300 index of stock prices and rising, when the Shanghai and Shenzhen 300 index futures to achieve high, the build number of the Shanghai Shenzhen 300 index futures short positions, and then use pre purchase H-shares of stock price oppression chips, making the stock price fell sharply H shares, and then transmitted to the A shares and Shenzhen 300 index futures, stock index futures fell to be, then the cheap stock index futures close out short positions, resulting in huge profits on the stock index futures.
◎ introduction of stock index futures, the market has greatly increased the complexity of the game, from a single spot market towards the spot market and futures market linkage, from the single market into the bilateral market. Management of the timing of introduction of stock index futures to be carefully considered. We propose that the broader market heavyweights have as a core asset of the fund and other institutional investors must be hedging.
been since August, the Shanghai index points from 1547, the CSI 300 index points from 1224 began a thespian migrate up to November 29 only, were up by 36% and 33%. This is likened with the before round of increases, with completely alter architecture, that is, large capitalization stocks, heavyweights index rises distant above the rate of amplify, there has been declined. If investors do not configure the broader market heavyweight, is basically not the current circular of market share acquisitions from rising. The most bold is that the new round of market shares of banks, principally the performance of China Merchants Bank. The valuation of bank shares, the New York Stock Exchange before the main deposit and lend bank with reference to the average price-earnings percentage of 14 times the standard, with mainland GDP and CPI growth, the industry standard culling of 15 times earnings and 2 times the paperback value of the appraisal standards. Currently, China Merchants Bank has reached 30 times income, 3.5 times book value reached, this situation is a very important reason is the wastage of pricing power of A shares, Class H shares in banks quaked up the traditional pricing of the mainland bank shares standards, giving mushroom to domestic investors began to re-evaluation of A-share market value of the investment bank shares, A shares can only emulate the H share price rose passively.
In appending, the management has apparently put ahead in early 2007 fire in Shanghai and Shenzhen 300 Index as the underlying stock index futures. In this context, the market heavyweights, especially in Shanghai and Shenzhen 300 Index constituent stocks of the larger weights why this explosive rise? The introduction of stock index futures rose, and there is no articulation between? These problems occasioned us to consider deeply.
stock market index funds directed?
order to study the improvement of market forces since August where it comes from, we are open-stock funds are analyzed. The net rate of return if the fund exceeds the index rate of return over the same period, then the Fund in the recent rise in stocks was over with, that is out this round of market mainly driven by funds, but without the index rate of return over the same period, then There are other market forces in promoting the expansion of this round.
10 since May, the hot market is often switching, difficult to sustain, especially since late October is the rise in blue chips to market in numerous funds in this round of Ta. Since November 1 -11 20 among the main straight beneficiaries surrounded the biggest gainers in the financial and real possession appreciation plate, and iron and iron, petrochemical, characterized by blue chips, within the biggest gainers of the 50 companies, the average total and the average flow of equity capital to 10.296 billion shares and 935 million shares, respectively, higher than 1.059 billion shares and 2.28 million shares of the market average. Through the web growth rate of the Fund and the indexed rate of return, we ascertain that in October and November in large hat blue-chip market, the Fund in a passive position, the web rate of return most funds do not outperform index funds and to presume blue piece on the tape is not overweight. Therefore, we speculated that market is not leadership this round of funds.
H shares of ups and downs of stock prices led the A share price of the stock market ups and downs
pricing methodology was first proposed by Suo Erni ancient establishment in 1974, in agreement with its established international asset pricing prototype (ICAPM), that in the capital global mobility, a State asset prices are not resolved by the investors in the country,Lacoste Trainers UK, but on the globe of competitive pricing, the price of the assets of a nation depends on the global market portfolio return and risk contributions , and accordingly, gradually fashioned a stock price of the
so-called Once there are two prices, there will be arbitrage opportunities. In theory, anybody one who would carry a huge arbitrage positions established as an instant bite will be skillful to scatter truce, so that prices return to equilibrium. In the elapse, China's stock market is fully closed, the market valuation of foreign pressure can not pass, A Share Pricing depends only on the domestic supply and demand. The QFII begin with, a completely open capital list is expected to have been not far away, A-share market with international standards has become an inevitable trend.
However, the heterogeneity were thinking, let alone Obstacles obstacles caused by capital flows. So in the real market context, asset prices in different markets are often at a bonus or discount of the situation. But anyhow, asset prices in different markets there is always influencing each other, the impact performance of a stock market ups and downs caused by the other markets with the stock price changes, and often more amplified capital markets, asset price alterations, to guide the less developed markets rise and fall of asset prices.
A-share market was a Vision of things cost appreciation of the renminbi revaluation of worldwide hot money, creature difficult to scale into the A-share market, the market tin only be purchased in Hong Kong H shares of RMB assets. Extreme terms, and such funds may result in A-share market to enhance the H-share market for a
with A + H shares of large companies publish pile up models in the A-share market to grow at the same time, H-share market will usher in a infrequent large-scale evolution opportunities. As the Hong Kong stock market a solitary positioning in international markets, international capital markets function better, to fascinate the free flow of international capital H-share market, paired with the H-share market of large enterprises, the elementary sectors of citizen economic of the large undertaking or monopoly , to a decisive extent, a The A + H shares in this transaction the 2 cases,Lacoste Observe Strap Trainers, on the 1 hand the international capital into the hardship of A-share market is not small, on the other hand want to choose standard, perspicuous,Lacoste Strap Trainers, effective, sound legal system and the high degree of internationalization of H shares markets to provide, so, A-share market share market pricing scale up inclined to H, H-share market on the A-share market as a guide increasingly evident (see Figure 1). Granger Causality Analysis
We base that H shares and H shares Index Change Change Change 300, respectively, and A shares in Shanghai and Shenzhen have meaningful ups and downs guiding role, when the other hand, this navigate is less momentous. This shows that the mainland at Hong Kong stock market ups and downs ups and downs of the stock market lower, when the mainland stock market ups and downs ups and downs of the Hong Kong stock market higher. use of international speculative capital
H shares, A shares and stock index futures
suspect the path of amuse rates for of the mainland market, foreign exchange markets are not fully market-oriented, the mainland's capital market is not completely open to international capital, Thus, favor Hong Kong, using the exchange rate, interest rates, stock stock, stock index futures such a complex method to the potentiality of relatively small profit, but via the front of our H shares, A shares and A shares of stock index futures, or there is a the feasibility of grim, and its feasible ways shown in Figure 2.
can be seen from Figure 2, international investors are probable to affect the mainland market with H shares a way to:
in Hong Kong H shares of heavyweights to do more, because H-share index and the H shares of ups and downs of Shanghai and Shenzhen 300 Index constituent stocks of the ups and downs and there are guides, domestic investors and QFII to do more than follow the trend of H shares of heavyweight A shares, causing the rise in mainland China in Shanghai and Shenzhen 300 index, which also followed the Shanghai and Shenzhen 300 index futures rose, to be stock index futures reached a high level, then establish a large digit of stock index futures short positions. Construction of stock index futures positions once completed, will be short heavyweight H shares, A shares lead fall heavyweight, causing the CSI 300 Index fell, and then make the Shanghai and Shenzhen 300 index futures fell sharply, closing highs of international capital will be built The stock index futures short positions, acquire huge profits. China did not do the same time institutional investors and hedge long positions in stock index futures holders will be in the spot market and futures markets underwent ponderous losses.
the introduction of stock index futures market increases the complexity of
game before the introduction of stock index futures, the market showed unilateral specifics, investors can only profit by the rise in the stock market in the fall when the losses can only afford or do not As, therefore, either the game can only create a market performance, that is, stock prices, but rising rate, time vary. The introduction of index futures, the market is a bilateral specifics, not only the market prices can make money in the fall when the futures market can also be excess return to profit. Meanwhile, China is introducing margin trading system, if combined, and stock index futures, the market will form a real confrontation between long and short sides.
introduction of index futures, the futures market there will be four categories of investors, their relative operating strategies of entire the different:
first investors are hedgers, in order to achieve the main purpose of hedging the spot, avoid market systemic risk. Including long and short hedging hedging hedging: Hedging is a long bullish market-based investors to avert the downside risk fathom, and short hedge is a bearish market-based investors to avoid the risk of rising ;
The second species of investors are speculators, trading of stock concordance futures market directly, its trading strategies based above Dashiyanpan and control based above rank to reap colossal profits as the purpose. Such investors face large risks, merely potentially tall returns. They are the main liquidity providers, the market carries a hazard transmit feature;
the third category of investors is the arc, the arbitrage method consists of the same index of arbitrage, cross-market arbitrage and cross-phase arbitrage, and so, relatively speaking, less risky arbitrage returns from smaller in the meantime, arbitrageurs can exclude the phenomenon of market failure;
fourth category of investors from the pith, also belong to speculators. They are in the spot and futures markets to speculate with the way of action, the use of highly leveraged stock index futures on the index heavyweights and great significant impact on the index of fiscal stocks, plate linkage effects, such as market linkage effects,Lacoste Canvas Trainers, the unilateral market operations .
based on the international market research, we found that the measure of hedging transactions less total market share, while speculative trading is a high proportion of total turnover, up to 80%. This shows the strength of presumption in the market is very strong,Lacoste Swerve Lace Trainers, so the operation can not bypass the means of speculative funds, and their operating practices of the intricate and often amazing. Because the spot market and futures market has near links, so the stock market will also be greatly affected, especially when investors operating strategies deviate from market fundamentals, when these 4 types of investors about the directiby far and futures markets, Therefore, these four forces investors to become the game results will go. After the introduction of stock index futures, the incipient market, not only long and short game will be intensified, but also an increase in foreign short-term game and game specific point in time, such as stock index futures, expiration date and game, market operations would be more intricate, 1998 Battle of Hong Kong Financial is one instance. With the beginning up the Mainland market, this complexity will become increasingly apparent.
In short,Lacoste Running Trainers, the presentation of stock index futures, the market has greatly additional the complexity of the game, from a unattached spot market towards the speck market and futures market connection, from the single market into the bilateral market. Meanwhile, the presentation of stock index futures, the mainland capital market and international capital markets will be extra closely associated with namely too from this perspective, servant investors and international investors, the game will too be unavoidable. Faced with these, the treatment of the presentation of stock index time to cautiously think. We propose namely the broader market heavyweights have as a kernel asset of the fund and other institutional investors have to be hedging.