1、 外文翻译 原文 STOCK INDEX FUTURES Material Source: htty:/ /encyclopedia/Sel-Str/Stock-Index-Futures.html Author: Encyclopedia of Business, 2nd ed. A contract for stock index futures is based on the level of a particular stock index such as the S it represents the pricing of the last 30 seconds of the day
2、s trading. USES OF STOCK INDEX FUTURES Investors can use stock index futures to perform myriad tasks. Some common uses are: to speculate on changes in specific markets (see above examples); to change the weightings of portfolios; to separate market timing from market selection decisions; and to take
3、 part in index arbitrage, whereby the investors seek to gain profits whenever a futures contract is trading out of line with the fair price of the securities underlying it. Investors commonly use stock index futures to change the weightings or risk exposures of their investment portfolios. A good ex
4、ample of this are investors who hold equities from two or more countries. Suppose these investors have portfolios invested in 60 percent U.S. equities and 40 percent Japanese equities and want to increase their systematic risk to the U.S. market and reduce these risks to the Japanese market. They ca
5、n do this by buying U.S. stock index futures contracts in the indexes underlying their holdings and selling Japanese contracts (in the Nikkei Index). Stock index futures also allow investors to separate market timing from market selection decisions. For instance, investors may want to take advantage
6、 of perceived immediate increases in an equity market but are not certain which securities to buy; they can do this by purchasing stock index futures. If the futures contracts are bought and the present value of the money used to buy them is invested in risk-free securities, investors will have a ri
7、sk exposure equal to that of the market. Similarly, investors can adjust their portfolio holdings at a more leisurely pace. For example, assume the investors see that they have several undesirable stocks but do not know what holdings to buy to replace them. They can sell the unwanted stocks and, at
8、the same time, buy stock index futures to keep their exposure to the market. They can later sell the futures contracts when they have decided which specific stocks they want to purchase. Investors can also make money from stock index futures through index arbitrage, also referred to as program tradi
9、ng. Basically, arbitrage is the purchase of a security or commodity in one market and the simultaneous sale of an equal product in another market to profit from pricing differences. Investors taking part in stock index arbitrage seek to gain profits whenever a futures contract is trading out of line
10、 with the fair price of the securities underlying it. Thus, if a stock index futures contract is trading above its fair value, investors could buy a basket of about 100 stocks composing the index in the correct proportion such as a mutual fund comprised of stocks represented in the index and then se
11、ll the expensively priced futures contract. Once the contract expires, the equities could then be sold and a net profit would result. While the investors can keep their arbitrage position until the futures contract expires, they are not required to. If the futures contract seems to be returning to f
12、air market value before the expiration date, it may be prudent for the investors to sell early. USING INDEXES TO HEDGE PORTFOLIO RISK Aside from the above uses of indexes, investors often use stock index futures to hedge the value of their portfolios. To implement a hedge, the instruments in the cas
13、h and futures markets should have similar price movements. Also, the amount of money invested in the cash and futures markets should be the same. Toillustrate, while investors owning well-diversified investment portfolios are generally shielded from unsystematic risk (risk specific to particular fir
14、ms), they are fully exposed to systematic risk (risk relating to overall market fluctuations). A cost-effective way for investors to reduce the exposure to systematic risk is to hedge with stock index futures, similar to the way that people hedge commodity holdings using commodity futures. Investors
15、 often use short hedges when they are in a long position in a stock portfolio and believe that there will be a temporary downturn in the overall stock market. Hedging transfers the price risk of owning the stock from a person unwilling to accept systematic risks to someone willing to take the risk.
16、To carry out a short hedge, the hedger sells a futures contract; thus, the short hedge is also called a “sell-hedge.“ For example, consider investors who own portfolios of securities valued at $1.2 million with a dividend of 4 percent. The investors have been very successful with their stock picks.
17、Therefore, while their portfolios returns move up and down with the market, they consistently outperform the market by 6 percent. Thus, the portfolio would have a beta of 1.00 and an alpha of 6 percent. Say that the investors believe that the market is going to have a 15 percent decline, which would
18、 be offset by the 1 percent received from dividends. The net broad market return would be -14 percent but, since they consistently outperform the market by 6 percent, their estimated return would be -8 percent. In this instance, the investors would like to cut their beta in half without necessarily
19、cutting their alpha in half. They can achieve this by selling stock index futures. In this scenario, the S for instance, the Standard & Poors 500 Stock Index futures options are traded on the Chicago Mercantile Exchange. 译文 股票指数期货 资料来源 :htty:/ /encyclopedia/ Sel-Str /Stock-Index-Futures.html 作者： 商业百
20、科第二版 股指期货合同是基于某一股票的指数水平诸如标普 500 或者道琼斯工业平均指数。协议要求的合同的买入或卖出在指定的时间 ,在未来的。正如套期保值者和投机商买卖期货合约及期权价格的基础上的未来玉米、外汇、或木材 ,他们大多 数 和基于有一定数量的股票指数 的 销售合同 相同 。 股票指数期货可以用于 做空 的 总的市 场指数来 规避股票 下跌的风险 。它的合约 的终止日期 并不是两年或两 年后的未来 ,它 就像大多数商品期货合约到期之日 一样在 一年内。然而 ,不像商品期货 ,股票指数期货并不是根据实物 来结算 ,而是通过现金来结算 。 通过 现金结算 ， 投资者通常必须 有足够的保证金
21、 来弥补他们的潜在损失。 衡量 股指期货 所有股票指数期货合约价值等于其价格乘以一个指定的金额。为了说明起见 ,股 指期货 合约 价值是 纽约证券交易所 (NYSE)综合指数所推导出的指数水平乘以 500 美元。这个值结果的 ,因为每一期货合约是等于 500 次被引用的期货的价格。所以 ,假如指数水平被确 定是 200,相应的股票指数的未来将花费 10 万美元。这意味着每一天结束的时候 沪指期货 它的值是调整以反映一天的股票价格。 在股票指数期货合约的背后 ,都有两个 投资者 直接参与。一方 (购买者 )必须交付给第二方 (持有者 )的一笔现金平了合同 与 现货价格之间的差额 。 如果一个投资
22、者出售一项为期 6 个月的纽约证券交易所 (用复合期货合约乘数的 $ 500 元 )指数 在 444 点 ,六个月后 ,纽约证券交易所综合指数相等于 445点，投资者将亏损 500 元。 同样，如果一个投资者 做多 为期一年的期货合约指数在 442 和交收 日是在447 一年后（假设乘 数为 500 元）， 投资者则净赚 2500 美元 。 因此 ,积极的差异是由卖方 接收 由买方承担。消极差异是给买方接收由卖方承担。 股票指数期货买卖 当一个投资者 开立 一个期货头寸 ,他或她不 需要 支付全部金额 就可以签订期货合同。投资者 只 需要一小部分 仓位 作为保证金。 投资者 需 要 给他们经纪
23、人一大笔资金 以维持他们的期货合约。 如果 投资者账面出现亏损超过保证金 ,他们将被要求增加保证金金额。众所周知的 期货 保证金 ,它是 投资品种最低的 ,投资者账户资金可以在收到保证金追加通知 时再增加保证金 。 股指期货 的用途 价格发现 ， 在市场经济中，价格机 制是调节资源配置的重要手段。价格是在市场中通过买卖双方的交易活动而形成的，价格反映了产品的供求关系。与此同时，价格变化又影响供求的变动。现货市场中的价格信号是分散的、短暂的，不利于人们正确决策。而期货价格在一个规范有组织的市场通过集合竞价方式，形成具有真实性、预期性、连续性和权威性价格。再通过交易所的现货交割制度，使得期货价格和
24、现货价格收敛，因此期货价格能够比较准确地反映真实的供求状态及其价格变动趋势。 套期保值、管理风险股指期货主要用途之一是对 股票投资组合进行风险管理。股票的风险可以分为两类，一类是与个股经营相关的非系统性风险，可以通过分散化投资组合来分散。 提供卖空机制股指期货是双向交易，可以先卖后买。因此当投资者对整个股票大盘看跌的时候，可以卖空 指数期货，从而实现投机盈利或对持有的股票组合进行风险管理。 替代股票买卖、实 现资产配置由于股票指数是反映股票组合价值的指标，因此交易者买卖一手股票指数期货合约，相当于买卖由计算指数的股票所组成的投资组合。 资产配置是指投资者在股票、债券及现金三个基本资产类型中合理
25、分配投资。由于股指期货可以替代股票买卖，因此其将成为资产配置的主要工具之一。 提供投资、套利交易机会 ， 利用股指期货进行套利也是股指期货的主要用途之一。所谓套利，就是利用股指期货定价偏差，通过买入股指期货标的指数成分股并同时卖出股指期货，或者卖空股指期货标的指数成分股并同时买入股指期货，来获得无风险收益。套利机制可以保证股指 期货价格处于一个合理的范围内，一旦偏离，套利者就会入市以获取无风险收益，从而将两者之间的价格拉回合理的范围内。 股指期货还可以作为一个杠杆性的投资工具。由于股指期货保证金交易，只要判断方向正确，就可能获得很高的收益。 交易成本 每当投资者买卖证券 ,他们必须付的交易成本
26、。很明显 ,这里有一个明确的规定 ,投资者必须给他们的经纪人为执行和清理自己的交易。投资者股票指数期货交易支付和他们的经纪人 ,一般而言 ,他们将按合同要求执行支付他们的经纪人 25 美元 左右 。委员会通常清算公司的 合约交易量 ,然后由投资者支付给经纪人 。 最大的吸引力之一，交易股指期货 的交易成本已经比较低廉 。例如，支付交易股指期货经纪的佣金比作买卖的标的股票指数同样庞大的美元金额支付的佣金便宜。通常，每一个期货合约往往代表着超过 10 万美元的股票，以及相关的佣金将达到约 25 美元。 然而 每股股票的每所支付的佣金大约是五美分。这可能达数百美元的佣金。 价 格变动限值 为每个合同
27、、 交易建立一个最小的变动量 。为每个股票指数期货合约的最低价格的波动 ,也叫 “ TICK,” 是 0. 05。所以 ,一个点移动的期货合同 ,是指形成的 盈利 或损失一美元倍 数 多的美元的合同 ,是 500 美元。因 此 ,最少的 价格变动 就是 0. 05 乘以 500 美元 是 25 美元。 比较成熟的 股票指数 三个期货合约最流行的股票指数是：纽约证券交易所综合指数（在纽约期货交易所买卖），价值线综合指数（在堪萨斯城期货交易所上市交易），以及标准普尔 500 指数（芝加哥商品交易所的交易）。此外，投资者还可以购买股票指数期货期权，例如，标准普尔 500 股票指数期货期权在芝加哥商品交易所上市交易。
