During the May-July contract period, A-shares were exposed to systemic risks, and there were many speculators, mostly speculators in the early A-share market or futures market, and many natural persons.
During the shock period from August to September, during the bottoming stage, the CSRC allowed some institutions to conduct stock index futures.
In the rising stage of 10, the market continuously forced the market warrant plate to rebound collectively, which can be analyzed from the low valuation of the blue chip plate in the spot market.
During the period of 1 1, there were abundant arbitrage opportunities, the trading volume of funds such as ETF was large, and the constituent stocks of Shanghai and Shenzhen 300 Index were also active.
Then you can refer to the research of stock index futures in other countries, and you can also know what theory and model analysis are applied.
The market data of stock index futures, the change of positions (the change of investor structure is gradually enriched), arbitrage (spot arbitrage, the increase of intertemporal arbitrageurs), 165438+ 10, the CPI data of A-share market exceeded 4%, which triggered inflationary pressure and drastic changes, leading to the emergence of some arbitrage opportunities. On the delivery date, stock index futures contracts generally hold positions in the last two hours for smooth delivery.
First of all, you find the market data of stock index futures from CICC; Policies of the Securities and Futures Commission;
Secondly, analyze the market trend of each stage by month, combined with the daily K-line chart; Explain the structural changes of participants, ETF trading volume, spot arbitrage and intertemporal arbitrage, and analyze the reasons, as well as the changes of the constituent stocks of Shanghai and Shenzhen 300 Index of Agricultural Bank of China.
Finally, changes in national policies, the proportion of foreign capital introduced, hot money inflow, CPI exceeding 4%, inflationary pressure, special reports on key events, and whether the Shanghai and Shenzhen 300 Index and stock index futures fluctuate violently.
Initial stage: speculative development stage: with the enrichment of arbitrage and other trading methods and the participation of institutional investors, the market will gradually mature and stabilize.