● 茆懿心博士 Dr Jennifer Mao
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
p
rogram 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.)
股价指数期货
新加坡国际金融交易所于4月27日公布，将于今年8月推出一个以
新加坡股市为基础的股价指数期货合约，也将在11月推出另外两个股
价指数期货合约，一个以泰国股市为基础，另一个则以吉隆坡股市为
基础，这意味着：对本国、泰国、马来西亚等股市的全盘走势具有看
法的小投资人，很快地就会有以具体行动就其看法下注的机会。
记忆好的人在听到“股价指数期货”时，可能马上想起了栽在日
经指数期货手里、把霸菱数百年基业毁于一旦、如今还在樟宜监狱服
刑的利森。“投机”、“期货”、“利森”都是轻易引人反感的字词
，所以，在读者还没有鄙视或不屑地发出“哼”的一声、拒绝读下去
之前，让我们赶紧说在前头：能拿来“投机”的金融衍生工具，也都
能用来避险。
也容我在此重复一个故事：网球女将格拉夫的父亲就是以“赌”
来买“保险的，格拉夫的父亲在女儿参加重大比赛时，总是下注赌女
儿会输，不懂期货原理的体育记者们都以为他迷信，认为赌女儿输球
，女儿就会赢球。其实，这些记者们错了，对一个赌客来说，赌格拉
夫是赢是输可能只是投机、一个发财梦，但对格拉夫的父亲而言，它
却是一纸可以避免心脏病突发的保险单——当女儿在球赛中落败时，
他可能从庄家那儿赢到的钱肯定有一定的慰抚作用，绝对可以帮助降
低血压、松弛神经。当然，假如女儿赢了球赛，那兴奋的程度也会被
赔掉的赌金冲淡些许。
所以，“水可载舟，亦可覆舟”也适用于期货上：“期货可拿来
投机，也可用来避险。”
我们将以一系列的文章帮助读者了解股价指数期货的应用。照理
说，我们应该先解释股价指数的涵义、为什么不选择股民熟悉的海峡
工商指数；再追溯股价指数期货的渊源与发展历史；接着介绍即将推
出的指数期货的规格与有关的买卖规则等。
然后，我们应该说明投资人可以如何利用股价指数期货来投机、
避险、套利；最后再谈谈其他的相关问题，例如新加坡股价指数期货
的交易会不会使新加坡股市的波幅加大，甚至把新加坡变成东方的美
国赌城拉斯维加等等。
但是，我们相信读者最关心、最急于知道的应该是如何买卖这个
股价指数期货合约，所以，此股价指数期货系列将以下列的顺序与读
者见面：
二、如何以股价指数期货投机
三、股票投资者如何以股价指数期货避险
四、如何以股价指数期货套利
五、摩根新加坡股价指数简介
六、股价指数期货的渊源与发展
七、新加坡国际金融交易所的风险治理机 制
八、总结：摩根新加坡指数期货合约
由于机构投资人对股价指数期货都已经很熟悉，本系列的对象是
小投资人，系列之二以假想的例子说明如何利用股价指数期货投机。
系列之三则先以资金经理的角
2007-12-06
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