1、正确看待股指期货市场的多空持仓（Correctly view the long and short positions of the stock index futures market）Correctly view the long and short positions of the stock index futures marketLong and short position mechanism becomes the basis and carrier for stock index futures market to play its functions smoothlyThe
2、full sense of the modern stock market includes three levels, namely stock issuance market, two market and three market risk management, the three level of market risk management mainly refers to the stock index futures and options market. Since February 24, 1982, the Kansas futures exchange launched
3、 the value line index futures contracts, the world has more than 400 stock index futures, in promoting the development of Chinese capital market, enhance the ability of financial services in the real economy has played an important role. In April 16, 2010, the CSI 300 stock index futures market fill
4、ed the gap of our stock risk management market, and it was a major breakthrough in Chinas capital market construction.As the market risk management, the stock index futures market and spot market trading mechanism, trading objects and many other aspects are different, an important manifestation of l
5、ong and short positions in the stock index futures market is different from the spot market, a correct view of the stock index futures market long and short positions, operation mechanism and features will help us more accurately understand the stock index the futures market.The long positions and s
6、hort positions must be equalLong positions and short positionsThe stock market deals with the stock of the listed company. After the completion of a transaction, the stock is transferred from the sellers account to the buyers account. For the buyer, the seller will increase positions, positions, wil
7、l reduce the impact of various types of transactions, including the margin of market positions is zero, the stock market positions and the total stock circulation amount is always equal, the concept does not exist in the short positions.The stock index futures market, trading is a standard contract,
8、 in addition to the contract prices, other terms remain fixed, the essence of transaction is the standardization about the rights and obligations based on, rather than proof of property ownership of securities. Stock index futures market position refers to the contract position has not yet been hedg
9、ed, and if the contract buyer is long positions, if it is the contract seller, is short positions. As the futures contract is not issued limit, as long as market participants can reach a new deal, in theory, stock index futures positions can be infinitely enlarged.From the stock index futures market
10、 as a whole, long positions and short positions are necessarily equal, this is because the contract to reach a deal, the seller and the buyer are indispensable. Therefore, any transaction of stock index futures market is completed, changes in long and short positions will appear the same number, in
11、the same direction, opening transaction will make increasing amounts of long and short positions, and positions will make the long and short positions to reduce the amounts, may not occur in the long and short positions in total.Changes in net short positionsSince the market long positions and short
12、 positions must be equal, so we often hear short positions increased, or net short positions increased, the original is part of the holdings of the top members are long and short positions before the 20 seats separately compared. Such as,In November 15, 2013 after the close, the Shanghai and Shenzhe
13、n 300 stock index futures contract of 88962 hand positions, which means that the main contract long positions and short positions are 88962, and 20 members of long positions in the top to hold a total of 62834 hand positions, 20 members short positions in the top to hold a total of 72374 hand positi
14、ons, so you can the calculated the main contract net short positions 9540 hands. Thus it can be seen that the changes in the structure of short and short positions are mainly reflected in the changes in net short positions.Long and short positions in futures cannot predict the trend of stockLong and
15、 short positions are the result of collective bargaining by market participantsEarly in the development of Chinas futures market, due to the smaller size of the market, there is a certain degree of separation of commodity futures and spot market, system and supervision are still on the way to find a
16、 variety of reasons, sometimes rely on the main financial strength market phenomenon, that is we often say “play“, or even Bikong, multi market force. In this case, long and short positions as the main capital of the performance of the intention of investors to determine the market trend has a certa
17、in reference value. But with the rapid expansion of the futures market, the futures market related systems, supervision and law enforcement in place, the commodity futures market is also difficult to see the traditional bankers main.For the stock market, the stock market in the community, the rapid
18、dissemination of information, gathered all kinds of large institutions, is found and decided the main battlefield of stock price, stock index futures prices are not independent, coupled with the stock index futures market access and strict supervision, not from the beginning to the survival of the m
19、ain soil spatial dealer. As we all know, only by constantly trading and continuing to exert influence on prices can the dealers main influence on the market trend. As of November 15, 2013, the stock index futures market 190 institutional clients 1848 trading and encoding the average daily turnover o
20、f only 12 thousand hands, the average daily trading volume market accounted for 1.4%, not enough to have any real impact on prices, the stock index futures market is a perfect competition market, there is no so-called main. The stock index futures market is not long and short positions between the m
21、ain active game tools, but as with the spot market trading volume, stock price index, market participants are collective bargaining behavior results will not have more powerful information revealing and predictive ability than RSI, KDJ, MACD and the average system and some other common technical ana
22、lysis indicators.From the point of view of statistical empirical test, it is not complicated to verify this problem. Only a few important variables can be tested by Grainger causality test and correlation analysis. Grainger causality test and correlation analysis are commonly used statistical tests.
23、 They are widely used in medicine, biological sciences, physics and economic and social sciences. We use this method to examine the changes in the long and short positions of the CSI 300 stock index futures and the actual market trend of the stock market. Among them, consistent with the market habit
24、s, respectively, the use of the top 20 seats, long and short positions ratio, and the first 20 seats net short positions volatility, to show that the CSI 300 stock index futures straddle positions changes,The correlation between the two variables and the stock market index of Shanghai and Shenzhen S
25、tock Exchange, the yield of the day, the yield of the next 300 days and the rate of return of third days are tested by correlation test and Grainger causality test.Statistical test showed that the amount of long and short positions change and return rate of stock index is the statistical significanc
26、e of alternative variables, long and short positions do not have the special ability to reveal information, more importantly, it is found that the long and short positions and then there is no causal relationship between stock index returns and third stock index returns, also no significant correlat
27、ion.This explains the empirical results show that two points: one is the stock index futures market and spot market trend is highly related to the stock index futures, not out of stock market out of the independent market, futures and spot markets are responding to the same external information with
28、 each other, to discover the true market price, which laid a good foundation for the stock index futures market play the function of risk management; the two is that the stock index futures and spot market price positions are two sides of a coin, with the stock index futures positions change to pred
29、ict the market outlook, is in fact that “the market is down, the next day the market continued to fall, the market rose, the market will continue to rise“.It is not meaningful to predict stock markets with long and short positionsIn fact, changes in the stock index futures positions and then stock i
30、ndex returns and third stock index returns no causality and correlation empirical conclusion is consistent with the effective financial market random walk theory also confirms a lot of research literature from the China stock market weak efficient point of view, it is that, by the stock index future
31、s positions and less sense to predict the market outlook. If the long and short positions have certain predictive ability, empirical test will be found on behalf of long and short positions change of variables and overnight spot market yields have correlation, and in the statistical sense is the nex
32、t day market yields.Further analysis, if the stock index futures were net short positions 20%, 30%, absolute amplitude exceeds 40%, the threshold of 50%, to observe the relationship between long and short positions, with second days of stock market trend forecast market decline will find accurate da
33、ys accounted for 51.47%, 50%, 47.62%, 48.84%; forecast prices accurate days respectively accounted for 46.49%, 38.33%, 42.86%, 33.33%. On the whole, relying on long and short positions to predict the accuracy of the market outlook is less than 50%.In the investment practice, with long and short posi
34、tions as the basis for investment is also difficult to get a good income, if it reaches a certain level in the net short positions decline, issued a buy signal, which is in second days to the opening price approach; reach a certain level in the net short positions increased, giving a sell signal, wh
35、ich opened in second days the price of departure. After the actual calculation, if investors in strict accordance with the above strategies, respectively, net short positions 30%, 40%, 50% of the three threshold for the sale of the basis, the stock index futures market since April 16, 2010 to Novemb
36、er 15, 2013, the cumulative yield were -0.027%, -0.56%, -0.93%.But if investors in accordance with the strategy of operation: the average 5 day moving average 20 days on average to wear the same day, the closing point in Shanghai and Shenzhen 300 Index Fund; 5 on average in the 20 day moving average
37、 on the same day, the closing point sold in Shanghai and Shenzhen 300 index fund. Dont consider the fund discount or premium, since the CSI 300 stock index futures market in November 15, 2013 to more than three years, although the stock market downturn, there are still 25 times of trading opportunit
38、ies, investors can achieve a cumulative return of 46.25% annualized rate of return of 11.2%.Futures short positions is not equal to the bearish marketAs an important part of the modern capital market, the stock index futures market risk management, asset allocation, promote the functions of innovati
39、on, long and short positions in the stock index futures market mechanism is the foundation and carrier of the smooth play function. Whether hedging, arbitrage or speculative trading, they need to choose straddle positions, in many cases, the choice of short positions is not because investors bearish
40、 on the stock market.First of all, the large holdings of stock hedging, in order to resist the risk of locking, short-term market volatility, we need to establish short positions in the stock index futures market, and even shift positions to continue to keep the short positions through the contract
41、expires, but the short positions may be precisely the long-term bullish on the performance of the stock market, so that investors not in the market by selling a negative stock to avoid the market risk. Secondly, for they are arbitrage traders, capture market caused by the friction between the curren
42、t period, the contract period between different trades, will reverse the transaction between futures and spot, or in different period of two-way open contracts, their short positions and is not independent of the market bearish. Finally, for speculative traders, their focus is on a very short period
43、 of the market trend, the vast majority of traders, will fluctuate with the market frequently changing their long and short positions, short positions are often not from bearish, but an investment in homeopathy.In fact, short positions not only do not mean bearish market, in many cases, short positi
44、ons will have substantive “prop up market“ effect. Short positions mechanism can make large holdings of stock investors in the face of systemic risk, to avoid killing predicament, greatly reducing the stock market bear market and the extreme case of selling pressure, and even encourage investors to
45、market hunters, significantly enhance the stock market elasticity. According to statistics, in 2008 the outbreak of the financial crisis to the end of the year, the 22 stock index futures market average decline of 46.91%, without the introduction of stock index futures market average decline reached
46、 63.15%, the stability of the stock market futures remarkable effect.More importantly, the mechanism of stock index futures short positions or long-term funds into the market is the key, it is because of the short positions in the insurance (assured Paul) “,“ safety valve “, various types of long-te
47、rm funds into the city and dared to hold long-term stock. As of the end of the second quarter of 2013, the market value of long-term funds held by the US 401K scheme totaled $13 trillion and 520 billion, or 45.97% of the US stock market value. These long lines of funds come into play,The U.S. capita
48、l market has become the worlds most dynamic market, but also further strengthen the United States in the global economic and financial status of the boss.summaryChinas stock index futures market was born only three years, positive effect on the capital market is gradually emerging, but overall is st
49、ill a new thing, in the society fully affirmed at the same time, it also faces some doubts, market organizers need rational discussion and reflection, to be both honest and respond to market concerns, should also work hard to correct some misunderstanding of the concept of stock index futures market. On this basis, the parties should strive to form a consensus: the niche market of stock index futures market is of no great importance, with Chinese economic and financial reform, the market plays a decisive role in the allocation of resources, risk management demands increase, the constr
