Futures Index Arbitrage Pushes the Stock Market Upward

Caitiekang of Kaiji Securities

Hong Kong shares rose sharply again on Thursday, with the Hang Seng Index rising 300 points to close at 16916, overcoming the earlier gap of 16674-16876. However, although the transaction amount in the big market rose, it only recorded 28.9 billion yuan in the whole day, which was still some distance from the 30 billion yuan to 40 billion yuan in the first half of the year when the market was booming. In terms of individual companies, the real estate sector generally rose, and China moved It rose by 5%, and heavyweight HSBC also made steady progress.

However, the author believes that although the Hang Seng Index rose yesterday and transactions were relatively active, the overall transaction amount has not reached the ideal level, mainly because investors generally lack confidence and are unwilling to enter the market at this point. In fact, except for the constituent stocks of the Hang Seng Index and the state-owned enterprise index, the increase and turnover of other stocks are relatively moderate.

Generally speaking, large investors buy heavyweight stocks such as HSBC and China Mobile Move and pull the index, and then store good positions in the stock index futures market, thus recording rich profits. In fact, the number of transactions of Hang Seng Index futures on the first day reached 30000-40000, and the daily related transaction amount reached 20-30 billion yuan based on the contract amount. In contrast, due to the lack of investor participation in the spot market, the daily turnover of blue chip is only about 5-10 billion yuan. Therefore, most large households do not need too much capital

At the same time, due to the active development of the stock warrant market by the Hong Kong Stock Exchange, the turnover of stock warrants in Hong Kong accounts for about 20-30% of the total market value. Among them, exchange control China Life , Move in The participation rate of warrants of the Hang Seng Index and the Mobile Index is the highest. Due to the leverage effect of 6-20 times of their warrants, issuers often have to buy positive shares for hedging when there is a large fluctuation in positive shares. Therefore, in the recent unilateral rebound market, large investors only need to move from high to high Moving forward and HSBC's positive shares, and then driving the stock issuers to make up positions, can get twice the result with half the effort. Recent exchange control and intermediate shift The dynamic performance was not bad, and the transactions of its warrants were more active. As of noon yesterday, it was the largest and the third largest active stock warrants respectively, accounting for about 15.4% and 8.7% of the total transactions of warrants. At the closing, HSBC subscribed for 3850 and China Mobile Active subscription 3714 rose 7.46% and 40.56% respectively.

In summary, the author believes that the recent market rise is mainly caused by large investors pushing up the positive shares to make profits in the future index market, which can also explain why the market rose but the transaction did not cooperate. Looking ahead, as the non HSI has overcome several major resistance levels, and the market is speculating about the news that the US interest rate has paused to rise, it will challenge the 17000 point level in the short term. However, HSBC will announce its medium-term business results on Monday, which is expected to have a certain influence on the market. The HSI has risen to the annual high of 17300 points, and the pressure on profit taking has increased significantly. It is suggested that investors should first liquidate some good positions in the next two days, and make deployment after HSBC announces its results.