【英语财经】新规导致中国期指交易量锐减 China index futures hit by trading curbs

China’s stock index futures market, once the world’s most vibrant, has been decimated in recent weeks by regulations designed to discourage bearish speculators of the kind blamed for the recent stock market rout.

Share trading resumes in China today after a string of public holidays since the end of September and comes as futures trading volume averaged only 127,000 contracts

a day last month.

Just a few months ago futures contracts based on the CSI 300 index, which tracks the largest companies traded in Shanghai and Shenzhen, were the most heavily traded in the world. Daily volume in July averaged 1.7m contracts, against the 1.5m S&P 500 futures traded in Chicago.

Trading volume rose sharply when China’s stock market tumbled in late June, as investors rushed to hedge long positions or bet on further falls. Then regulators stepped in with a crackdown, sinking volumes.

The campaign started with a police investigation into so-called “malicious short selling” in the futures market but later expanded into new rules that raise the cost of futures trading.

“Changing the trading rules has had a big impact. The 40 per cent margin requirement is aimed at cutting leverage and has made stock-index futures much harder to speculate on,” said Yang Hai, analyst at Kaiyuan Securities in Xi’an.

In early September the Shanghai Financial Futures Exchange raised margin

re-quirements on futures con-tracts for investors placing directional bets — as opposed to simply hedging long positions taken in the cash market — from 10 to

40 per cent. For investors engaged in hedging, margin requirements rose from

10 to 20 per cent.

Foreign investors participating in the stock market through the QFII (qualified foreign institutional investor) quota system have always been restricted to hedging transactions.

Separate rules limited non-hedgers to opening 10 contracts a day, regardless of contract value, a move designed to discourage day trading.

But the new rules have made life more difficult for hedgers. The drop in liquidity means a single large hedging transaction can greatly influence the market price, raising the cost for hedgers.

The problem is acute on certain days of the month. CSI 300 futures mature on the third Friday of the contract month. While a speculator may close out a position, hedgers need to roll over expiring contracts into new ones with a later maturity date.

Without speculators to take the long end of the

trade and hedgers looking

to short, hedging costs

have soared. Traders and analysts say many fund managers have given up trying

to hedge.

“Speculators were always the main players in the market,” said a trader at a futures company in Shanghai. “We all debated whether that was normal and healthy. Now the debate has no meaning.”

Additional reporting by Ma Nan

最近数周，世界上一度最活跃的中国股指期货市场遭到了严重削弱，原因就在于旨在打击那些被指应对近来中国股市大跌负责的做空者的监管规定。

在黄金周公共假期结束后，中国股市于今日恢复交易。上个月，日均股指期货交易量仅为12.7万手。

就在几个月前，基于沪深300指数(CSI 300 index)的期货合约还是世界上交易量最大的合约。沪深300指数追踪沪市和深市市值最大的300只股票。7月沪深300期指合约日均交易量为170万手，而在芝加哥交易的标普500(S&P 500)期指合约日均交易量不过150万手。

6月下旬，当中国股市大跌时，期指交易量大幅上升，因为投资者争相对冲做多的头寸或者押注于股市进一步下跌。随后，监管层介入进行整顿，把交易量降了下来。

这场整顿的开始，是警方调查期货市场上所谓的“恶意做空”，但后来扩大到出台提高期指交易成本的新规则。

“更改交易规则产生了很大的影响。40%的保证金要求旨在降低杠杆，使得人们利用股指期货进行投机的难度提高了很多，”位于西安的开源证券(Kaiyuan Securities)的分析师杨海表示。

9月初，中国金融期货交易所(China Financial Futures Exchange)将股指期货各合约的非套期保值持仓的交易保证金要求从30%提高到了40%，将套期保值持仓的交易保证金要求从10%提高到了20%。

通过合格境外机构投资者(QFII)配额制度参与中国股市的境外投资者，则一直只能从事套期保值交易。

另外的规则把非套保者在单个产品的单日开仓交易量限制在10手，这一措施旨在降低日内交易量。

但是，新规让套保者的日子更为难过。流动性的降低意味着，一笔大额套保交易可以极大地影响市场价格，提高了套保者的成本。

这个问题在当月的某几天内表现得较为突出。沪深300股指期货合约在合约月份的第三个周五到期。投机者或许会平仓，但套保者需要把即将到期的合约延展至到期日更晚的新合约上。

由于没有了做多的投机者，套保者又希望做空，套保成本已大幅升高。交易员和分析师表示，许多基金经理已放弃了套保努力。

“投机者一直是期指市场的主要参与者，”上海某期货公司的一名交易员表示，“我们都曾对这种状况是否正常和健康展开过辩论。现在，这样的辩论已没有了意义。”

Ma Nan补充报道

译者/何黎