Dr Jennifer Mao：Stock Index Futures Series
The Singapore International Monetary Exchange (Simex) announced on 27 April 1998 that it would launch in August a stock index futures contract based on the Singapore stock market. In addition, it also plans to come up with two more stock index futures contracts, one on the Thai stock market, and the other on the Malaysian stock market. This means, very soon, small investors who have a view on the broad movements of these three markets will be able to put their money where their beliefs are.
Quite a number of people would still remember the collapse of Barings Group in the hands of rogue futures trader Nick Leeson. Some of them may associate words such as "speculation", "futures", "Leeson" more with gambling than with financial centres. While such a view may be difficult to change, we should quickly point out that a financial derivative that can be used for speculation can also be effective hedging tools.
To make a point, let me repeat a known fact about the German tennis player Steffi Graf. When Graf was in the final rounds of major tournaments, her father was known to bet against her. Some sports journalists speculated that the senior Graf was superstitious. But I believe that he was simply hedging. The winning from the bet would definitely dull the anxiety when Graf was on the verge of being defeated. Of course, the joy of victory would also be dampened by the loss on the bet. But then how often do we hear people who have survived a term insurance say: "I should not have bought the insurance!"
This series aims to enhance small investors' understanding of the stock index futures in general and the Simex MSCI Singapore Stock Index Futures contract in particular. Selected issues related to stock index futures will be discussed. They are outlined below and will appear in the following sequence:
*Speculating with Stock Index Futures
*Hedging Using Stock Index Futures
*Arbitrage Using Stock Index Futures
*MSCI Singapore Free Index
*The History and Development of Stock Index Futures
*Simex and Investor Protection
*Simex MSCI Singapore Stock Index Futures Contract
Stock Index Futures (SIF) contracts have been around for over 15 years. Institutional investors are familiar with such a product. The targeted readership of this series is the small investor.
We will illustrate in the next article how an investor with a view on the broad market movement can use SIF to profit from his belief if it turns out to be correct. The risks and advantages of SIF as a speculative instrument will be highlighted.
The third article of the series explains how a stock investor can use SIF to hedge against anticipated market corrections. We then present in the following article an actual example of program trading where handsome, riskless profit was made through arbitraging between the spot market (i.e. the stock portfolio) and the futures market using S&P500 SIF contracts. The example serves to demonstrate how arbitrage activities help to correct the mis-pricing in the market place.
Many investors must have many questions following after the Simex announcement. What is this index called MSCI Singapore Free Index? What stocks are included? How is it compiled? By whom? Why is it chosen over the far more familiar (at least to the local investors) Straits Times Industrial Index? Will it be susceptible to manipulation? The fifth article offers some answers.
Since the Kansas City Board of Trade introduced the first SIF in 1982, many SIF contracts have been traded on various exchanges with various degrees of success. Our sixth article will provide the historical development of this very innovative financial derivative. Hopefully we can draw on the experiences of other exchanges and make the Simex MSCI Singapore SIF a successful one.
Small investors will naturally be concerned about the measures taken by Simex to safeguard their interest against unfair practices. We will describe the risk management mechanisms of Simex in our second last article.
Finally, we will conclude the series with a thorough explanation of the contract specification of the Simex MSCI Singapore Stock Index Futures.
(The writer is Senior Lecturer of the Department of Finance and Accounting , NUS & a resource panelist of SPH's Chinese Newspapers.)
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新加坡國際金融交易所于4月27日宣布，將于今年8月推出一個以新加坡股市為基礎(chǔ)的股價指數(shù)期貨合約，也將在11月推出另外兩個股價指數(shù)期貨合約，一個以泰國股市為基礎(chǔ)，另一個則以吉隆坡股市為基礎(chǔ)，這意味著：對本國、泰國、馬來西亞等股市的全盤走勢具有看法的小投資人，很快地就會有以具體行動就其看法下注的機會。
記憶好的人在聽到“股價指數(shù)期貨”時，可能立刻想起了栽在日經(jīng)指數(shù)期貨手里、把霸菱數(shù)百年基業(yè)毀于一旦、如今還在樟宜監(jiān)獄服刑的利森。“投機”、“期貨”、“利森”都是容易引人反感的字詞，所以，在讀者還沒有鄙視或不屑地發(fā)出“哼”的一聲、拒絕讀下去之前，讓我們趕緊說在前頭：能拿來“投機”的金融衍生工具，也都能用來避險。
也容我在此重復(fù)一個故事：網(wǎng)球女將格拉夫的父親就是以“賭”來買“保險的，格拉夫的父親在女兒參加重大比賽時，總是下注賭女兒會輸，不懂期貨原理的體育記者們都以為他迷信，認(rèn)為賭女兒輸球，女兒就會贏球。其實，這些記者們錯了，對一個賭客來說，賭格拉夫是贏是輸可能只是投機、一個發(fā)財夢，但對格拉夫的父親而言，它卻是一紙可以避免心臟病突發(fā)的保險單——當(dāng)女兒在球賽中落敗時，他可能從莊家那兒贏到的錢肯定有一定的慰撫作用，絕對可以幫助降低血壓、松弛神經(jīng)。當(dāng)然，如果女兒贏了球賽，那高興的程度也會被賠掉的賭金沖淡些許。
所以，“水可載舟，亦可覆舟”也適用于期貨上：“期貨可拿來投機，也可用來避險�！�
我們將以一系列的文章幫助讀者了解股價指數(shù)期貨的應(yīng)用。照理說，我們應(yīng)該先解釋股價指數(shù)的涵義、為什么不選擇股民熟悉的海峽工商指數(shù)；再追溯股價指數(shù)期貨的淵源與發(fā)展歷史；接著介紹即將推出的指數(shù)期貨的規(guī)格與有關(guān)的買賣規(guī)則等。
然后，我們應(yīng)該說明投資人可以如何利用股價指數(shù)期貨來投機、避險、套利；最后再談?wù)勂渌南嚓P(guān)問題，例如新加坡股價指數(shù)期貨的交易會不會使新加坡股市的波幅加大，甚至把新加坡變成東方的美國賭城拉斯維加等等。
但是，我們相信讀者最關(guān)心、最急于知道的應(yīng)該是如何買賣這個股價指數(shù)期貨合約，所以，此股價指數(shù)期貨系列將以下列的順序與讀者見面：
二、如何以股價指數(shù)期貨投機
三、股票投資者如何以股價指數(shù)期貨避險
四、如何以股價指數(shù)期貨套利
五、摩根新加坡股價指數(shù)簡介
六、股價指數(shù)期貨的淵源與發(fā)展
七、新加坡國際金融交易所的風(fēng)險管理機 制
八、總結(jié)：摩根新加坡指數(shù)期貨合約
由于機構(gòu)投資人對股價指數(shù)期貨都已經(jīng)很熟悉，本系列的對象是小投資人，系列之二以假想的例子說明如何利用股價指數(shù)期貨投機。
系列之三則先以資金經(jīng)理的角度來說明股價指數(shù)期貨如何幫助一個大股票基金避險，再以小投資人的立場看股價指數(shù)期貨的避險功能。
系列之四會引用一個1987年全球股市崩盤之前、以紐約股市的S&P500期貨套利的例子。借著這個利用現(xiàn)貨與期貨之間暫時性價格失調(diào)來套利的例子，我們探討股價指數(shù)期貨價格與股價指數(shù)的關(guān)系。
系列之五將簡單介紹“摩根史丹利資本國際新加坡自由流通股價指數(shù)”(MSCI Singapore Free Index，以下簡稱“摩根新加坡指數(shù)”）的成分股、編算方法、涵義、歷史波動程度、與海峽工商指數(shù)的異同等等。
股價指數(shù)期貨在歐美市場存在已久。系列之六追溯股價指數(shù)期貨的淵源及發(fā)展史。這應(yīng)該是本系列中與期貨交易、應(yīng)用較無直接關(guān)系的一節(jié)，但有助于讀者期貨知識的提升。
新加坡國際金融交易所在國際享有一定的盛譽，為什么？在此買賣期貨的小投資人為何會被經(jīng)紀(jì)商耍得團團轉(zhuǎn)？他們的權(quán)益如何受到保障？這些都是系列之七的主題。
最后，就在摩根新加坡指數(shù)期貨正式出臺之前，我們以系列之八仔細地說明該期貨合約的確切規(guī)格及交易規(guī)則，并以摩根臺灣指數(shù)期貨為例，解釋每日出現(xiàn)在《商業(yè)時報》的訊息。
我們相信此一系列的文章可以幫助讀者對新加坡國際金融交易所即將推出的三個股價指數(shù)期貨有正確的了解，從而決定自己是否要利用這些期貨來投機、避險，或用在任何其他合法的生財之道。
（作者是新加坡國立大學(xué)企業(yè)管理學(xué)院高級講師與華文報咨詢團成員）