Pay attention to the arbitrage trading opportunity of AH shares of stock index futures

The three factors, such as the different compiling methods of the Shanghai Composite Index and the Shanghai and Shenzhen 300 indices, the mutual influence of a-share and H-shares, and the hedging of the spot market and the futures market, will increase the arbitrage trading opportunities of a-share investors, which will also have a significant and far-reaching market impact on Friday, the first batch of four Shanghai and Shenzhen 300 stock index futures contracts will be officially listed in the China Financial Futures exchange, which is China's capital market to continue to improve and progress of an important symbol.　　When it comes to the influence of stock index futures, we have to talk about the three major effects of arbitrage on the operation of stock index futures. First, because of the high overlap between the weighted shares of the Shanghai Composite Index and the Shanghai and Shenzhen 300 indices, and the different methods of compiling the two indices, such as the Shanghai Composite Index calculates all listed shares in Shanghai, and the Shanghai and Shenzhen 300 Index only calculates the circulating equity of the sample stocks.　　In this way, the share of the same stock in the two major indices of the weight will be very different, the impact on the stock index is also very different, thereby increasing the two major indices of the structural arbitrage trading opportunities. As at the end of February 2010, the Shanghai Composite Index of the top ten market value of the largest stocks were PetroChina (12.04%), ICBC (6.99%), Sinopec (4.51%), Bank of China (4.21%), Chinese Longevity (3.21%), China Shenhua (2.72%), Merchants Bank (1.42 %), China Peace (1.23%), Bank of Communications (1.22%) and Citic Bank (1.06%). The total market share of the Shanghai Composite Index is 38.62%, of which the share of financial shares is 18.11%. According to the data of April 2 this year, the Shanghai and Shenzhen 300 index of the top five heavy shares for China Merchants Bank (3.67%), Bank of Communications (2.77%), Ping An (2.69%), Minsheng Bank (2.66%) and Citic Securities (2.43%).　　The total market capitalisation of the Shanghai and Shenzhen 300 indices accounted for 14.23%. The above comparison found that, in view of the strong correlation between the Shanghai Composite Index and the Shanghai and Shenzhen 300 indices, as long as we pry the financial stocks, especially PetroChina and Sinopec, can significantly influence the ups and downs of the Shanghai Composite Index, and then influence the changes of the Shanghai and Shenzhen 300 indices, which will affect the trend The leverage and linkage effect of this kind of weighting shares will enlarge the arbitrage trading opportunities in the future a-share market.　　In fact, the big swings in the Tuesday Shanghai Composite were a preview.　　Second, the Shanghai and Shenzhen 300 index some of the main components of the Shanghai Composite stock market is the most important, but also listed in the H-shares, so the volatility of the Hong Kong stock market (including the European and American market fluctuations) will also have a certain structural carry trade impact on the Shanghai and Shenzhen 300 Index and index futures Taking financial stocks as an example, financial stocks in the current A-share index (including the Shanghai Composite Index and the Shanghai and Shenzhen 300 indices) accounted for a very large proportion of the market capitalisation. By the end of February 2010, 8 financial shares of ICBC and Bank of China were among the top ten Shanghai Composite CompaniesThe largest share of the current market capitalisation, which accounts for the total market share of the Shanghai Composite Index of 28.66%; As of April 2 this year, the Shanghai and Shenzhen 300 index of the top five heavy stocks are financial shares, the Shanghai and Shenzhen 300 index total market share is 14.23%.　　Therefore, the rise and fall of financial stocks will certainly have a strong leverage on the Shanghai Composite Index and the Shanghai and Shenzhen 300 indices. Now, if the petrochemical and financial stocks that have a prominent effect on the Shanghai Composite index are considered to be listed companies with H-shares, this makes a, H shares also have a cross market arbitrage opportunities, such arbitrage trading opportunities will also have a deep impact on the A-share market, such as by pulling up or suppressing the share price of shares to affect the rise and fall of A shares,　　And then push or depress a-share index.　　Therefore, the volatility of Hong Kong stocks, especially the H-shares, at some point will also affect the index futures by increasing the volatility of the Shanghai and Shenzhen 300 indices. Third, the stock index futures provide a new short mechanism for a-share transaction, which will undoubtedly increase the arbitrage opportunity between the stock spot market and the futures market.　　Such arbitrage deals will have a significant impact not only on the Shanghai Composite Index but also on the Shanghai and Shenzhen 300 indices and their stock index futures. This is because traders can sell some of the weighted shares (such as some of the Shanghai Composite Index's financial weight shares), or even through the bond trading to suppress or short a-share index, but also by shorting or shorting the Shanghai and Shenzhen 300 index futures, to achieve a less risky carry trade. Especially on the eve of the arrival date of the stock index futures contract, the arbitrage trade between the spot and the futures market will have a great impact on the stock market shocks.　　For example, foreign investors bet a new wave of A50 index futures, has led to a a-share market wide shocks, is a good case. To sum up, the existence of arbitrage trading opportunities, so that the financial, petrochemical and other blue-chip stocks in the stock index futures will certainly be favored by investors, whether it is a, h share price linkage, or the Shanghai Composite Index and the Shanghai and Shenzhen 300 indices of different weights, the structural problems of these index structure, Have increased the investors to carry on the market opportunity of arbitrage trade, will certainly have certain structural influence to the Shanghai and Shenzhen 300 index futures.