股指期货标的指数选择:全球经验与借鉴

Underlying Index Selection of Index Futures:The Global Experience and Reference

全球股指期货交易高度集中,成功的合约不足10%,标的指数选择是影响期货合约成功的关键因素。基于与已有合约互补、实现全市场覆盖等技术性路径,中盘、小盘指数期货已在全球被广泛实践,但鲜有成功案例。三十年来股指期货的实践经验表明,成功的标的指数通常具有代表性好、认知度高及市场需求强等特征。基于市场优选路径,上证50与深证100作为沪深两市旗舰产品指数,特色鲜明、交易活跃,是继沪深300指数之后优秀的标的指数候选者。

Three decades of stock index futures trading experiences indicate that only a minority of future contracts have been successful. Underlying index selection is the key factor to an index future contract＇s success. Since the idea of constructing complementary contracts to those existing ones in order to cover the whole market is intuitive, mid-cap and small-cap index futures are extensively introduced and traded globally. However, there are rarely successful cases. The success of index future contracts is determined by the representativeness and recognition of the underlying index as well as market demand. Based on the idea of＂market first＂, SSE 50 and SZSE 100, two flagship and investable indices of Shanghai and Shenzhen stock exchange, with distinctive features and active trading, are both the follow-up to CSI 300 and qualified as optimal underlying index candidates of stock index futures.